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HW_ED_FwdShock() function

HW_ ED_FwdShock(argument list…)

This function returns the size of the shift to the continuously compounded forward rate curve that is needed in order to move a given Eurodollar futures contract price by a certain amount. This function is exported for testing purposes, and will be removed at a later date. The function uses the following arguments:

Argument Description Restrictions
Futures_Expiry futures expiry date for the contract that is being shocked valid Excel date number
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_Year_Basis the year basis for the deposit rate 360 or 365
ED_Quoted_Level the quoted level for the Eurodollar contract < 100, >0
[typically something between 92 and 97 given typical interest rates]
ED_Shock the amount of the shock to the Eurodollar quoted level (e.g. a positive one tick shock would be entered as 0.01, whereas 5 negative ticks would be -0.05)


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