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I am looking for implementation in R (or Matlab) of the Generalized Hull-White interest rate trinomial tree according to the following paper: Interest Rate Trees: Extensions and Applications (2017) .

Does anyone have any code that attempts to replicate the trinomial tree building procedure described in that paper? It is not ideal, but implementation of the classic Hull-White model would work too.

Thanks

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  • $\begingroup$ Maybe you should give a look at this example: Hull White Term Structure Simulations with QuantLib Python. I know that it's neither R or MATLAB, but the code you're looking for is already implemented. $\endgroup$ – Lisa Ann May 7 at 21:43
  • $\begingroup$ Thank you Lisa for your advice, however the example provided simulates the HW short rate by generating different paths, which is quite a different thing from constructing a trinomial tree following the HW model. Being HW a popular model, I thought there may be some material out there (the Generalized HW is quite new instead, but never say never). Please let me know if you find anything. Thanks again. $\endgroup$ – Davide May 8 at 10:06
  • $\begingroup$ Perhaps the trinomial tree, which in QuantLib is just an engine that takes as input short rate models, is exposed to Python, too. I'm just looking at the constructor of TreeCallableFixedRateBondEngine. That could be an implementation of the trinomial tree, even if C++. $\endgroup$ – Lisa Ann May 8 at 12:27

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