| HW_SimpleExtendible() function | |
HW_Extendible() functionHW_SimpleExtendible (argument list…)
This function returns the value of a once-extendible (at par) bond with step-up (or level, or step-down) coupon using the Hull-White model. 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 |
| Extendible_Date | exercise date of option | >= Settlement_Date (must be a coupon date) |
| Maturity_Date | bond maturity date | valid Excel date number >= Retractable_Date |
| First_Cpn | coupon rate on the bond up-to and including the Extendible_Date in decimal form (e.g. six percent entered as 0.06) | >= 0 |
| Second_Cpn | coupon rate on the bond after Extendible_Date | >= 0 |
| 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) |
| Notice_Days | minimum notice, in days, required to exercise the extension option | >= 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 |
| 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 |
| 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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