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HW_FwdParSwapRate() function

HW_FwdParSwapRate(argument list…)

This function is not derived from the Hull-White model per se, but is provided as a utility which is useful when pricing swap options with the Hull-White model. It returns the fair fixed rate on a swap using zero curve rates shifted by a given OAS (option-adjusted spread). The function uses the following arguments:

Argument Description Restrictions
Valuation_Date valuation date (e.g. today) valid Excel date number
Swap_Start_Date start date of swap valid Excel date number
>= Valuation_Date
Term _in_months term of the swap in months > 0
Frequency number of fixed-side payments per annum 1, 2, 4, or 12
Year_Basis year basis used in determining payments 360 or 365
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

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