HW_ED_FwdShock() function

HW_ED_FwdShock() function

HW_ ED_FwdShock(argument list…)

This function returns the size of the shift to the continuously compounded forward rate curve that is needed in order to move a given Eurodollar futures contract price by a certain amount. This function is exported for testing purposes, and will be removed at a later date. The function uses the following arguments:

Argument	Description	Restrictions
Futures_Expiry	futures expiry date for the contract that is being shocked	valid Excel date number
Deposit_Expiry	the maturity date for the expiry of the LIBOR deposit which begins at the expiry of the futures.	valid Excel date number > Futures_Expiry
Deposit_Days	the number of days in the deposit period, according to the day count basis	> 0 [typically 90 or 91]
Deposit_Year_Basis	the year basis for the deposit rate	360 or 365
ED_Quoted_Level	the quoted level for the Eurodollar contract	< 100, >0 [typically something between 92 and 97 given typical interest rates]
ED_Shock	the amount of the shock to the Eurodollar quoted level (e.g. a positive one tick shock would be entered as 0.01, whereas 5 negative ticks would be -0.05)