HWTree_ExchBondOpt() function |

**HWTree_ExchBondOpt() function**

**HWTree_ExchBondOpt(argument list…)**

This function returns the value of an option to exchange one bond plus cash for another bond. The function uses the following arguments:

Argument |
Description |
Restrictions |

Valuation_Date |
valuation date (e.g. today) | valid Excel date number |

Bond_Freq |
bond accrual frequency per annum | 1, 2, 4, or 12 |

Bond1_Mat |
maturity date of the bond one wishes to exchange (give up) | valid Excel date number > Valuation_Date |

Bond1_Cpn |
annual coupon rate of the bond one wishes to give up, in decimal form (e.g. six percent entered as 0.06) | >= 0 |

Bond1_OAS_diff |
the spread above the zero curve for the bond one wishes to give up, IN ADDITION to the regular OAS | |

Cash |
the amount of cash per $100 par one must also exchange in order to receive the other bond | |

Bond2_Mat |
maturity date of the bond one wishes to exchange for (receive) | valid Excel date number > Valuation_Date (must have overlapping coupons with other bond) |

Bond2_Cpn |
annual coupon rate of the bond one wishes to receive, in decimal form | >= 0 |

Bond2_OAS_diff |
the spread above the zero curve for the bond one wishes to receive, IN ADDITION to the regular OAS | |

First_X_Date |
the first exchange opportunity | must be on a coupon date |

Exer_Freq |
the number of exchange opportunities per annum | 1, 2, 4, or 12 <= Bond_Freq |

Last_X_Date |
the final exchange date | must be on a coupon date |

NoticeDays |
minimum notice, in days, required to exchange the bonds | >= 0 |

Short_Rate_Vol |
annual standard deviation of the short rate of interest, in decimal form | > 0 |

Reversion_Rate |
mean reversion rate of the short rate of interest, in decimal form | >= 0 |

Tree_Step |
number of steps in the trinomial tree PER EXERCISE DATE | > 0 (typically 2 to 10) |

Zero_Dates |
array of zero coupon curve dates | strictly ascending orderThe first date of this array must be Valuation_Date |

Zero_Rates |
array of continuously compounded riskless rates in decimal form (e.g. six percent entered as 0.06) corresponding to Zero_Dates | > 0 |

OAS |
parallel shift of the zero curve in decimal form | |

Bucket_Start |
beginning of bucket for zero curve shifts | set to 0 if curve shift is not desired |

Bucket_End |
end of bucket for zero curve shift | >= Bucket_Start |

Bucket_Shift |
parallel shift of the zero curve between Bucket_Start and Bucket_End in decimal form | set to 0 if curve shock is not desired |

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