| HW_cap_fix_strike_new() and HW_floor_fix_strike_new() functions | |
HW_cap_fix_strike_new() and HW_floor_fix_strike_new() functionsHW_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 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 | |
| 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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