Prototype
Function opt_hw_coupon(hw_sigma As Double,
X As Double,
coupon As Double,
freq As Long,
hw_a As Double,
face_value As Double,
opt_mat As Double,
bond_mat As Double,
putcall As Long,
interest_times As Variant,
interest_rates As Variant) As Variant
Description
This function calculates the European option value and bond value for a coupon bearing bond.
Arguments
hw_sigma - Double : The Hull & White parameter sigma.
X - Double : The strike price.
coupon - Double : The value of the coupon in cash.
freq - Long : The number of times per year that the coupon is paid.
hw_a - Double : The Hull & White parameter a.
face_value - Double : The face value of the bond.
opt_mat - Double : The option maturity in years.
bond_mat - Double : The bond maturity in years.
putcall - Long : Indicates whether the option is a put or call.
If putcall = 0 then the option is a call , if putcall = 1 then it is a put.
interest_times - Variant (containing a single column of Double values) : The times (in years) of
the interest rates in the term structure.
interest_rates - Variant (containing a single column of Double values) : The values of the interest rates
(as percentage rate/100.0 ).
Returned Values
The order of the returned values is : bond value, option value.
Other Information
Information on enumeration types
List of available routines