HW_CMT_Fixed_Rate() function

HW_CMT_Fixed_Rate() function

HW_CMT_Fixed_Rate(argument list…)

This function returns the fair (i.e. zero NPV) fixed side swap rate for a Constant Maturity Treasury Swap using a proprietary approach using the Hull-White model. Both a government treasury zero curve and a swap zero curve need to be input. The CMT par yield at future dates, used to calculate the floating side payments, is computed with a bond basis. The function uses the following arguments:

Argument	Description	Restrictions
Valuation_Date	valuation date (e.g. today)	valid Excel date number
Swap_Start_Date	start date of swap	valid Excel date number >= Valuation_Date
Term _in_months	term of the swap in months	> 0
Fixed_Freq	number of fixed-side payments per annum	1, 2, 4, or 12
Fixed_Year_Basis	year basis used in determining payments on fixed side	360 or 365
CMT_Rate_term_months	term of the rate underlying the floating (CMT) side of the swap	> 0
CMT_Rate_freq	frequency of the CMT indexing rate	1, 2, 4, or 12
CMT_Year_Basis	year basis for the CMT side of the swap	360 or 365
CMT_pay_freq	payment frequency of the CMT side of the swap	<= CMT_Rate_freq
Govt_Zero_Dates	array of zero coupon curve dates for the treasury curve	strictly ascending order The first date of this array must be Valuation_Date
Govt_Zero_Rates	array of continuously compounded zero coupon treasury rates in decimal form (e.g. six percent entered as 0.06) corresponding to Govt_Zero_Dates	> 0
Swap_Zero_Dates	array of zero coupon curve dates	strictly ascending order The first date of this array must be Valuation_Date
Swap_Zero_Rates	array of continuously compounded zero coupon swap rates in decimal form (e.g. six percent entered as 0.06) corresponding to Swap_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 swap zero curve in decimal form