| Fixed End-Date European Swaptions (HW-Tree) | |
Fixed End-Date European Swaptions (HW-Tree)HWTree_EuroReceiverFixMat(argument list…)
HWTree_EuroPayerFixMat(argument list…)
These functions return the value per $1 notional (e.g. 0.03 means 3% of notional) of European Put (Payer) and Call (Receiver) swaptions, using the Hull-White trinomial tree model, where the underlying swaps have fixed start and end dates. The functions use the following arguments:
| Argument | Description | Restrictions |
| Valuation_Date | valuation date (e.g. today) | valid Excel date number |
| Swaption_Mat_Date | the exercise date for the option | >= Valuation_Date |
| Notice_Days | minimum notice, in days, required to exercise swaption | >= 0 |
| Strike_Rate | strike rate for the swaption in decimal form (e.g. six percent entered as 0.06) | > 0 |
| Swap_Start_Date | beginning of underlying swap | valid Excel date number |
| TIM | length of underlying swap, in months | > 0 |
| Fixed_freq | number of fixed-side payments per annum | 1, 2, 4, or 12 |
| Yr_Basis | year basis used in determining payments | 360 or 365 |
| Hols | array of holiday dates | valid Excel date numbers strictly ascending order |
| DateConv | business date convention | 0 = no adjustment 1 = Following business day 2 = Modified following 3 = Previous |
| Tree_Steps | number of steps in trinomial tree | > 0, typically 25 to 50 |
| Short_Rate_Vol | annual standard deviation of the short rate of interest, in decimal form | > 0 |
| Rev_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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