HW_FwdParSwapRate() function

HW_FwdParSwapRate() function

HW_FwdParSwapRate(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 swap options with the Hull-White model. It returns the fair fixed rate on a swap using zero curve rates shifted by a given OAS (option-adjusted spread). 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
Frequency	number of fixed-side payments per annum	1, 2, 4, or 12
Year_Basis	year basis used in determining payments	360 or 365
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