| HW_cap_var_strike() and HW_floor_var_strike() functions | |
HW_cap_var_strike() and HW_floor_var_strike() functionsHW_cap_var_strike(argument list…)
HW_floor_var_strike(argument list…)
These functions return the value of caps and floors with varying principal amounts and strikes, 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 |
| Principal_Dates | array of principal dates | strictly ascending order |
| Principal_Amounts | array of principal amounts (last element is unused) | >= 0 |
| Caplet_Strikes or Floorlet_Strikes |
array of option strike rates in decimal form (e.g. six percent entered as 0.06) corresponding to the above arrays | > 0 |
| 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 |
| 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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