Simple Callable Bonds (HW-Tree)

Simple Callable Bonds (HW-Tree)

HWTree_SimpleCallable (argument list…)

This function returns the value of a level-coupon bond which is callable at par. 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 Maturity_Date bond maturity date valid Excel date number >= Settlement_Date Coupon bond coupon rate in decimal form (e.g. six percent entered as 0.06) >= 0 Coupon_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) First_Call_Date first date that the bond is callable must be a valid coupon date Call_Freq call frequency per annum 1, 2, 4, or 12 must be lower than Coupon_Freq Notice_Days minimum notice, in days, required to call the bond >= 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 Tree_Steps_per_Coupon tree steps per fixed coupon period in the trinomial lattice > 0 (typically 3 to 10)

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