HW_cap_fix_strike_new() and HW_floor_fix_strike_new() functions |

**HW_cap_fix_strike_new() and HW_floor_fix_strike_new() functions**

**HW_cap_fix_strike_new(argument list…)**

**HW_floor_fix_strike_new(argument list…)**

These functions return the value of fixed-strike interest rate caps and floors using the Hull-White analytic model. Please note that the older routines have been modified to accommodate an OAS, zero curve bucket shifts, arbitrary start dates and last reset rates for seasoned caps/floors. The functions use the following arguments:

Argument |
Description |
Restrictions |

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

Start_Date |
start date of cap/floor | valid Excel date number |

Term_in_months |
term of the cap/floor in months | > 0 |

Strike_Rate |
option strike in decimal form (e.g. six percent entered as 0.06) | > 0 |

Freq |
number of caplets/floorlets per annum | 1, 2, 4, or 12 |

Year_Basis |
year basis used in determining payments | 360 or 365 |

Holidays |
array of holiday dates | valid Excel date numbers strictly ascending order |

Date_Convention |
business date convention | 0 = no adjustment 1 = Following business day 2 = Modified following 3 = Previous |

Last_Reset_Rate |
floating rate fixing for the last caplet or floorlet for a seasoned cap | > 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 |

Zero_Dates |
array of zero coupon curve dates | strictly ascending orderThe 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 | |

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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