The BasicHullWhite Model

Overview

BasicHullWhite is a simple implementation of the Hull-White model. The Hull-White model is a short rate model represented by the stochastic differential equation:

\[dr(t) = (\theta(t) - a r(t))dt + \sigma dW\]

BasicHullWhite preforms Monte-Carlo simulations and generates paths of the instantaneous short rate based on the Hull-White model. Many properties of the Hull-White model are analytically solvable, and BasicHullWhite also includes formulas analytically solving for the properties.

Formulas for the Monte-Carlo simulation perform computation fast, as they operate on numpy vectors to process all scenarios at once.

All the contents are defined in HullWhite space.

See also

• Damiano Brigo, Fabio Mercurio (2001, 2nd Ed. 2006). Interest Rate Models - Theory and Practice with Smile, Inflation and Credit

• Paul Glasserman (2003). Monte Carlo Methods in Financial Engineering

Model Specifications

The HullWhite Space

HullWhite

The main Space in the BasicHullWhite model.

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