Hull White Process Model


Hull White Process Model is a direct subtype of Hull White Model
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with functions Hull White Process Model Functions, keys Hull White Process Model keys and example object HWPrmdl

TYPE INCLUSION RELATIONSHIPS

Hull White Model

Hull White Process Model

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Discretization

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TYPICAL OBJECTS OF TYPE Hull White Process Model

HWPrmdl

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This type represents essentially the Hull White Model enhanced with a discretization scheme that is used by QuantLib in the HybridHestonHullWhiteProcess implementation of the respective stochastic process.
QuantLib warning: This class was not tested enough to guarantee its functionality.
Reminder: The Hull & White model follows the SDE:
dr = (θ - αr)dt + σdw