FutAdj_HW





http://www.QuantTools.com
CapeTools Query Curves function list

Welcome | Documentation format | QuantTools Groups | QuantTools Categories | Licence

Key TAGs | Excel Index | API Index



Computes the convexity adjustment from an interest rate futures price that needs to be added onto the quoted futures price in order to back out an unbiased forward rate.

This function uses a HullWhite model.



Note: Within Excel, the function is named - CT.MKT.FutAdj_HW




High level graphic of FutAdj_HW() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. ValueDate parameter

    Valuation (or Settlement) Date (typically equal to Today's date)
  2. Start parameter

    Maturity Date of the futures contract.
  3. EndDate parameter

    Maturtiy of the underlying Deposit rate.
  4. dayCounter parameter

    Daycounter required for year length calculations.
  5. alpha parameter

    alpha parameter (reversion rate).
  6. sigma parameter

    standard deviation of the short rate.
  7. Futures parameter

    The quoted futures price.
  8. OutputType parameter

    The type of output you would like to see. Possible values are : 'Bias' (convexity bias), 'AdjPrice' (the adjusted futures price) or 'AdjRate' (the adjusted forward rate).


Extended information

Function Syntax

VB Syntax


Double CTQryCurves.FutAdj_HW( _
Long ValueDate, _
Long Start, _
Long EndDate, _
DayCountEnum dayCounter, _
Double alpha, _
Double sigma, _
Double Futures, _
String OutputType)


Excel Spreadsheet Syntax


=CT.MKT.FutAdj_HW(
Excel Numeric Cell ValueDate,
Excel Numeric Cell Start,
Excel Numeric Cell EndDate,
Excel String Cell dayCounter,
Excel Numeric Cell alpha,
Excel Numeric Cell sigma,
Excel Numeric Cell Futures,
Excel String Cell OutputType)


C++ Syntax


static double FutAdj_HW(
long ValueDate,
long Start,
long EndDate,
DayCountEnum dayCounter,
double alpha,
double sigma,
double Futures,
std::string OutputType);


DotNET Syntax


System.Double CTQryCurvesSA.FutAdj_HW(
System.Int32 ValueDate,
System.Int32 Start,
System.Int32 EndDate,
CTIEnums.DayCountEnum dayCounter,
System.Double alpha,
System.Double sigma,
System.Double Futures,
System.String OutputType);

Parameter data types

ArgNameArgTypeIsKey
ValueDateLongFALSE
StartLongFALSE
EndDateLongFALSE
dayCounterDayCountEnumFALSE
alphaDoubleFALSE
sigmaDoubleFALSE
FuturesDoubleFALSE
OutputTypeStringFALSE


Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
ValueDateFALSE19/Jul/2005 (serial date type)
StartFALSE21/Jan/2006 (serial date type)
EndDateFALSE21/Apr/2006 (serial date type)
dayCounterFALSE30360
alphaFALSE0.03
sigmaFALSE0.015
FuturesFALSE94.00
OutputTypeFALSEAdjPrice


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Curves20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the FutAdj_HW() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.


The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the FutAdj_HW() function call


94.0042115953238

Copyright (c) 2003-2007 CapeTools - All Rights Reserved.