| HW_cap_fix_strike() and HW_floor_fix_strike() functions | |
HW_cap_fix_strike() and HW_floor_fix_strike() functionsHW_cap_fix_strike(argument list…)
HW_floor_fix_strike(argument list…)
These functions return the value of fixed-strike interest rate caps and floors 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 |
| Term_in_months | term of the cap/floor in months | > 0 |
| Months_Forward | number of months that the cap/floor starts after Valuation_Date | >= 0 |
| Frequency | number of caplets/floorlets per annum | 1, 2, 4, or 12 |
| Year_Basis | year basis used in determining payments | 360 or 365 |
| Cap_Rate or Floor_Rate | option strike in decimal form (e.g. six percent entered as 0.06) | > 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 |
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