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RM_HULL_WHITE_ANALYTICAL_INT - Price Calculator Hull White Analyst

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Functionality

Price calculator for valuating European options for interest transactions such as bonds and swaps. Caps and floors can also be valued as can every interest transaction reflecting a cash flow, a fixed exercise date and a strike (that is possibly the same as the nominal amount). Valuation takes place according to the Hull/White model that is based on an exogenous one-factor and arbitrage-free interest structure model.

Notes

The exercise right must be entered in structure C_OP_DESCRIPTIONS, the cash flows in table IT_FIX_CF, and the interest structure in table IT_DISCOUNTFACTORS for the valuation. The Hull-White parameters volatility and reversion rate of the yield curve are also needed.

Example

See call in function group RMOP.

Further information

Essentially, the equations come from the book by Damiano Brigo and Fabio Mercurio (Interest Rate Models Theory and Practice, Springer 2001, pp. 63). They correspond to the equations by John Hull and Alan White (Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models, The Journal of Derivatives, Fall 1994, pp. 7).

Parameters

C_OP_DESCRIPTIONS
E_OP_RESULTS
E_PRICE
IT_DISCOUNTFACTORS
IT_FIX_CF
I_HORIZON
I_MAXIMUM_STEPLENGTH
I_MEAN_REVERSION
I_SIGMA

Exceptions

NO_CONVERGENCE

Function Group

RMOP

RFUMSV00 - Advance Return for Tax on Sales/Purchases   BAL Application Log Documentation  
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