HWTree_SavingsBond() function |

**HWTree_SavingsBond() function**

**HWTree_SavingsBond(argument list…)**

This function returns the value of a redeemable savings bond. The note does not pay cash interest payments over its life, but rather the principal grows at guaranteed rates. After put protection, if any, the note may be redeemed by the investor at principal plus accrued reinvestment. The note may have a variable accrual rate, that is, reinvested principal plus interest may accrue at different rates over different periods. The function uses the following arguments:

Argument |
Description |
Restrictions |

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

Settlement_Date |
bond settlement date | valid Excel date number >= Valuation_Date |

Maturity_Date |
bond maturity date | valid Excel date number >= Settlement_Date |

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

DCB |
day count basis | 0 = 30/360 (US) 1 = act/act for CAD/US T-Bonds 2 = act/360 3 = act/365 4 = 30/360 (European) |

Accrual_Dates |
array of accrual dates | First element must be the issue date, and last element must be the maturity date of the bond. Dates must be in ascending order, and consistent with the coupon frequency and maturity date. |

Accrual_Rates |
array of bond accrual rates, as annualized rates, in decimal form (e.g. six percent entered as 0.06) | >= 0, and corresponding to the Accrual_Dates array |

Put_Prices |
array of redemption prices per $100 par corresponding to Accrual_Dates array | > 0 if redeemable on a date (typically > $100, and always rising) = 0 if not redeemable on a date |

Notice_Days |
minimum notice, in days, required to redeem the bond | >= 0 |

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 |

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 |

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 |

Tree_Steps_per_Coupon |
tree steps per fixed coupon period in the trinomial lattice | > 0 (typically 3 to 10) |

© 1995-98 Leap of Faith Research Inc.