Short rate paths#

Short rate paths generated by the Monte Carlo simulation. The first 10 and 100 paths are plotted.

See also

Short rate paths, 10 scenarios, 100 scenarios
import modelx as mx
import matplotlib.pyplot as plt

HW = mx.read_model("BasicHullWhite").HullWhite
paths = HW.short_rate_paths()

fig, axs = plt.subplots(2, 1, sharex=True, sharey=True)
fig.suptitle("Short rate paths")

for size, h in zip([10, 100], [0, 1]):
    for i in range(size):
        axs[h].plot(range(HW.step_size + 1), HW.short_rate_paths()[i])
        axs[h].set_title(str(size) + ' scenarios')

Total running time of the script: ( 0 minutes 0.377 seconds)

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