| HW_CurveBondPriceVar() function | |
HW_CurveBondPriceVar() functionHW_CurveBondPriceVar(argument list…)
This function is not derived from the Hull-White model per se, but is provided as a utility which is useful when pricing variable bond options with the Hull-White model. It returns the price of a bond using zero curve rates given an OAS and bucket shift. This function may also be used for relative value analysis, namely by comparing the market prices of various bonds to the "theoretical" values generated by the zero curve. 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 | 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) |
| Coupon_Dates | array of bond coupon dates | First element must be the last coupon date before the settlement date, or an even older coupon, 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. |
| Coupon_Rates | array of bond coupon rates, as annualized rates, in decimal form (e.g. six percent entered as 0.06) | >= 0, and corresponding to the Coupon_Dates array |
| 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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