HW_CMT_Fixed_Rate() function  Previous topicNext topicFirst topicLast topic


HW_CMT_Fixed_Rate() function

HW_CMT_Fixed_Rate(argument list…)

This function returns the fair (i.e. zero NPV) fixed side swap rate for a Constant Maturity Treasury Swap using a proprietary approach using the Hull-White model. Both a government treasury zero curve and a swap zero curve need to be input. The CMT par yield at future dates, used to calculate the floating side payments, is computed with a bond basis. 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
CMT_Rate_term_months term of the rate underlying the floating (CMT) side of the swap > 0
CMT_Rate_freq frequency of the CMT indexing rate 1, 2, 4, or 12
CMT_Year_Basis year basis for the CMT side of the swap 360 or 365
CMT_pay_freq payment frequency of the CMT side of the swap <= CMT_Rate_freq
Govt_Zero_Dates array of zero coupon curve dates for the treasury curve strictly ascending order
The first date of this array must be Valuation_Date
Govt_Zero_Rates array of continuously compounded zero coupon treasury rates in decimal form (e.g. six percent entered as 0.06) corresponding to Govt_Zero_Dates > 0
Swap_Zero_Dates array of zero coupon curve dates strictly ascending order
The first date of this array must be Valuation_Date
Swap_Zero_Rates array of continuously compounded zero coupon swap rates in decimal form (e.g. six percent entered as 0.06) corresponding to Swap_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 swap zero curve in decimal form


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