TreeHullWhite
Subtype of Pricing MethodCorresponds to the QuantLib TreeSwaption Engine powered with a Hull White Model one factor short rate model.
SDE: dr = (θ - αr)dt + σdw
Tree implementation.
Corresponds to the QuantLib TreeSwaption Engine powered with a Hull White Model one factor short rate model.
SDE: dr = (θ - αr)dt + σdw
Tree implementation.