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HW_CurveBondPrice() function

This function is not derived from the Hull-White model per se, but is provided as a utility which is useful when pricing bond options with the Hull-White model. It returns the price of a bond using zero curve rates given an OAS and bucket shift. This function may also be used for relative value analysis, namely by comparing the market prices of various bonds to the "theoretical" values generated by the zero curve. 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
Coupon annual bond coupon in decimal form (e.g. six percent entered as 0.06). For zero coupon (strip) bonds, enter 0. >= 0
Freq number of bond coupons 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)
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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