HW_CMT_Fixed_Rate() function |

**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 orderThe 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 orderThe 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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