I’m simulating interest rates via the HullWhite One factor model. To simulate the short rate I’m using the code from the Quantlib Python Cookbook, chapter 15 and beyond (By Goutham Balaraman and Luigi Ballabio). The code can be found here:
The code generates the short rate. Unfortunately the code ends with having only the simulated short rate while my goal is to create a whole new term structure based on the simulated curve.
To create a term structure I need to calibrate theta based on the initial term structure. Besides that I also need to calculate A(t) and B(t) such that I’m able to create the term structure.
Questions: Does somebody have an algorithm to calculate theta, A(t) and B(t)?