HW_PayerSwaption() and HW_ReceiverSwaption() functions

HW_PayerSwaption() and HW_ReceiverSwaption() functions

HW_PayerSwaption(argument list…)

HW_ReceiverSwaption(argument list…)

These functions return the value per $1 notional (e.g. 0.03 means 3% of notional) of European Put (Payer) and Call (Receiver) swaptions, using the Hull-White analytic model. The functions use the following arguments:

Argument	Description	Restrictions
Valuation_Date	valuation date (e.g. today)	valid Excel date number
Swaption_Maturity	expiry of swap option	valid Excel date number >= Valuation_Date
Notice_days	the number of calendar days notice required to exercise	>= 0
Strike_Rate	swaption strike rate in decimal form (e.g. six percent entered as 0.06)	> 0
Swap_Start_Date	is the start date of the underlying swap
Term_in_months	length of underlying swap, in months	> 0
Fixed_freq	number of fixed-side payments per annum	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
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
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