HW_CMS_Fixed_Rate() function  Previous topicNext topicFirst topicLast topic

HW_CMS_Fixed_Rate() function

HW_CMS_Fixed_Rate(argument list…)

This function returns the fair (i.e. zero NPV) fixed side swap rate for a Constant Maturity Swap using a proprietary approach using the Hull-White model. The function uses the following arguments:

Argument Description Restrictions
Valuation_Date valuation date (e.g. today) valid Excel date number
Swap_Start_Date start date of swap valid Excel date number
>= Valuation_Date
Term _in_months term of the swap in months > 0
Fixed_Freq number of fixed-side payments per annum 1, 2, 4, or 12
Fixed_Year_Basis year basis used in determining payments on fixed side 360 or 365
CMS_Rate_term_months term of the rate underlying the floating (constant maturity swap index) side of the swap > 0
CMS_Rate_freq frequency of the CMS indexing rate 1, 2, 4, or 12
CMS_Year_Basis year basis for the CMS side of the swap 360 or 365
CMS_pay_freq payment frequency of the CMS side of the swap <= CMS_Rate_freq
Swap_Dates array of zero coupon curve dates strictly ascending order
The first date of this array must be Valuation_Date
Swap_Rates array of continuously compounded zero coupon swap rates in decimal form (e.g. six percent entered as 0.06) corresponding to Swap_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 swap zero curve in decimal form

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