HW_NPV_Swap_Simple() function

HW_NPV_Swap_Simple() function

HW_NPV_Swap_Simple(argument list…)

This function returns the mark-to-market (net present value, or NPV) of a level principal swap from the perspective of the fixed-rate payer. If needed, short first stub periods are generated. It assumes that the floating side frequency is equal to the fixed side frequency. The function does not value seasoned swaps, as accruals are forced to start from the greater of the Valuation_Date or Swap_Start_Date (to maintain internal consistency with some European Hull-White swaption routines). The function uses the following arguments:

Argument	Description	Restrictions
Valuation_Date	valuation date (e.g. today)	valid Excel date number
Accrual_Start_Date	date at which payments accrue	internally set to maximum of Valuation_Date and Swap_Start_Date
Swap_Start_Date	start date of swap	valid Excel date number
Term_in_Months	term of the underlying swap in months, as of the Swap_Start_Date	> 0 (integer)
Fixed_Swap_Rate	fixed side rate on the swap in decimal form (e.g. six percent entered as 0.06)	> 0
Fixed_Freq	number of swap payments per year	1, 2, 4, or 12
Year_Basis	year basis used in determining payments	360 or 365
Holidays	array of holiday dates	valid Excel date numbers strictly ascending order
Date_Convention	business date convention	0 = no adjustment 1 = Following business day 2 = Modified following 3 = Previous
Notional_Principal	notional principal underlying the swap	positive number for fixed rate payer, negative number for floating rate payer
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