Hull White Model


Hull White Model is a direct subtype of Model[Short Rate]
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with functions Hull White Model Functions, direct subtypes Hull White Model subtypes, keys Hull White Model keys and example object HWmdl

TYPE INCLUSION RELATIONSHIPS

Model Short Rate

Hull White Model

Hull White Process Model

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Alpha

Sigma

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TYPICAL OBJECTS OF TYPE Hull White Model

HWmdl

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This type represents a short rate that follows a single-factor stochastic process r according to the SDE:
dr = (θ - αr)dt + σdw
where w is a Wiener process, α and σ are constants and θ is a deterministic function of the time t
It follows that the short rate follows a gaussian process with a mean reverting stochastic drift, a fact that results in being normally distributed. Web reference available here