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HW_Extendible() function

HW_SimpleExtendible (argument list…)

This function returns the value of a once-extendible (at par) bond with step-up (or level, or step-down) coupon using the Hull-White model. 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
Extendible_Date exercise date of option >= Settlement_Date
(must be a coupon date)
Maturity_Date bond maturity date valid Excel date number
>= Retractable_Date
First_Cpn coupon rate on the bond up-to and including the Extendible_Date in decimal form (e.g. six percent entered as 0.06) >= 0
Second_Cpn coupon rate on the bond after Extendible_Date >= 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)
Notice_Days minimum notice, in days, required to exercise the extension option >= 0
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
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
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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