Go to Deriscope's documentation start pageHull_White_Model

*Hull White Model* is a Type that 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