Prototype
Function opt_hw_lattice(putcall As Long,
method As Long,
sigma As Double,
a As Double,
bond_mat As Double,
opt_mat As Double,
face_value As Double,
X As Double,
n_steps As Long,
coupon As Double,
freq As Long,
interest_times As Variant,
interest_rates As Variant) As Variant
Description
This function uses the Hull & White model to calculate the value of American and European options
on coupon bearing bonds.
Arguments
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.
method - Long : If method = 0 then the option is European,
If method = 1 then it is American.
Note : method is greater than 1 is not allowed for this routine.
sigma - Double : The Hull & White parameter sigma.
a - Double : The Hull & White parameter a.
bond_mat - Double : The bond maturity in years.
opt_mat - Double : The option maturity in years.
face_value - Double : The face value of the bond.
X - Double : The strike price.
n_steps - Double : The number of time steps to be used.
coupon - Double : The value of the coupon in cash.
freq - Long : The number of times per year that the coupon is paid.
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