| HW_Caplet() and HW_Floorlet() functions | |
HW_Caplet() and HW_Floorlet() functionsHW_Caplet(argument list…)
HW_Floorlet(argument list…)
These functions return the price of an individual caplet/floorlet using the Hull-White analytical model. The functions use the following arguments:
| Argument | Description | Restrictions |
| Valuation_Date | valuation date (e.g. today) | valid Excel date number |
| Start_Date | start date of caplet/floorlet | valid Excel date number |
| End_Date | end date of caplet/floorlet | > Start_Date |
| Strike_Rate | option strike in decimal form (e.g. six percent entered as 0.06) | > 0 |
| Year_Basis | year basis used in determining payments | 360 or 365 |
| 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 |
| Zero_Dates | array of zero coupon curve dates | strictly ascending order The 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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