HW_ED_Futures_Price_new() function |

**HW_ED_Futures_Price_new() function**

**HW_ ED_Futures_Price_new(argument list…)**

This function returns the fair Eurodollar futures price using the convexity adjustment from the Hull-White model, and permitting shocks to the forward rate curve. This function is for testing purposes, and will be removed at a later date (one can use the HW_ED_FwdShock function to determine the shock to the forward rate curve, and then use that value in this function to make sure that the Eurodollar contract does move by the required amount). The function uses the following arguments:

Argument |
Description |
Restrictions |

VD |
valuation date (e.g. today) | valid Excel date number |

Futures_Expiry |
futures expiry date for the contract that is being considered | valid Excel date number >= Valuation_Date |

Deposit_Expiry |
the maturity date for the expiry of the LIBOR deposit which begins at the expiry of the futures | valid Excel date number > Futures_Expiry |

Deposit_Days |
the number of days in the deposit period, according to the day count basis | > 0 [typically 90 or 91] |

Deposit_YB |
the year basis for the deposit rate | 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 |

Curve_Type |
defines how the Zero_Rates array is to be interpreted | 0 = continuously compounded riskless rates in, decimal form 1 = discount factors (first must be 1.0, and must be declining) |

Interpolation |
the interpolation method to employ for the Zero_Rates array | 0 = cubic-spline 1 = linear 2 = log-linear |

Zero_Dates |
array of zero coupon curve dates | strictly ascending orderThe first date of this array must be Valuation_Date |

Zero_Rates |
an array of zero rates or discount factors corresponding to Zero_Dates | |

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 |

Fwd_Bucket_Start |
beginning of bucket for shift of continuously compounded FORWARD RATE curve (in addition to any other of the above shocks) | >= Valuation_Date |

Fwd_Bucket_End |
end of bucket for FORWARD RATE curve shift | > Fwd_Bucket_Start |

Fwd_Bucket_Shift |
parallel shift of the continuously compounded forward rate curve between Fwd_Bucket_Start and Fwd_Bucket_End in decimal form | set to 0 if curve shock is not desired |

Fwd_Buck_Dir |
the method used to shock the forward rate curve; -1 should be used for the nearest futures contract (in order to capture the effect from stub rate to the first futures date); 0 should be used for "middle" contracts, and 1 should be used for the final contract (in order to capture shocks beyond the final futures contract) | -1: applies the forward rate shock from valuation date until the Deposit_Expiry date 0: applies the shock only from the Futures_Expiry date until the Deposit_Expiry date 1: applies the shock from the Futures_Expiry date onwards |

© 1995-98 Leap of Faith Research Inc.