HullWhite: The single factor Hull White Model used to simulate the short...

In glennmschultz/BondLab: BondLab is a package for the analysis of fixed-income securities

Description

A function to simulate the short rate using a single factor Hull White model.

Usage

HullWhite(
  short.rate,
  mean.reversion,
  theta,
  time,
  delta.time,
  volatility,
  trade.days,
  num.paths
)

Arguments

short.rate	The short term rate
mean.reversion	The rate of mean reversion
theta	The paramter to fit to the curve
time	The time period in years
delta.time	The time step
volatility	The market volatility stated in annual terms
trade.days	The number of trading days
num.paths	Then number of short rate paths

See Also

Other Interest Rate Models: Bterm(), CreateCashFlowMatrix(), CreateMaturitiesMatrix()

glennmschultz/BondLab documentation built on May 11, 2021, 5:29 p.m.