HWTree_SavingsBond() function

HWTree_SavingsBond() function

HWTree_SavingsBond(argument list…)

This function returns the value of a redeemable savings bond. The note does not pay cash interest payments over its life, but rather the principal grows at guaranteed rates. After put protection, if any, the note may be redeemed by the investor at principal plus accrued reinvestment. The note may have a variable accrual rate, that is, reinvested principal plus interest may accrue at different rates over different periods. 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
Freq	bond accrual frequency 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)
Accrual_Dates	array of accrual dates	First element must be the issue date, and last element must be the maturity date of the bond. Dates must be in ascending order, and consistent with the coupon frequency and maturity date.
Accrual_Rates	array of bond accrual rates, as annualized rates, in decimal form (e.g. six percent entered as 0.06)	>= 0, and corresponding to the Accrual_Dates array
Put_Prices	array of redemption prices per $100 par corresponding to Accrual_Dates array	> 0 if redeemable on a date (typically > $100, and always rising) = 0 if not redeemable on a date
Notice_Days	minimum notice, in days, required to redeem 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)