HW_ED_FwdShock() function |

**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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