hull_white: 1-factor Hull White
In nathanesau/StocVal: Values embedded options in DB pension plan.

Description Usage Arguments Details Value Examples

Short rate interest model used to generate stochastic scenarios

1	hull_white(srinput, termStruct.extension, termofyield = 1)

`srinput`	Hull White model parameters. c(b, tau, scen, prjy, rns)
`termStruct.extension`	output of curve_extensionNS()
`termofyield`	should be 1 or function won't work

In srinput, scen represents the number of scenarios to generate, prjy represents the number of projected years, and rns represents the random number seed. It should also be pointed out that hull_white() can also be used to perform credit spread scenario generation not just short rate scenario generation (see interestModelsDemo)

Stochastic short rate scenarios

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termStruct.out <- cubic_spline(termStruct);
 termStruct.extension <- curve_extensionNS(termStruct.out);
 hw.out <- hull_white(srinput, termStruct.extension, termofyield=1)