# Questions tagged [hullwhite]

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### Quantlib Hull-White long term rate simulation

I have an idea of how to simulate short rate in Hull-White 1F model using QuantLib (Hull White Term Structure Simulations with QuantLib Python). I am not sure if there is any way to simulate a long-...
• 23
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### Pick the price of plain bond off Hull-White Tree

Since we can use Hull-White tree to calculate the price of a option embedded bond, which can be achieved by the QuantLib pricing engine TreeCallableFixedRateBondEngine, can this engine be also used to ...
1 vote
54 views

### Impact of Skew on Bermudan Swaptions

I'm trying to understand the impact of different skew assumptions on the pricing of Bermudan swaptions, e.g. 10NC1 struck at K%. It is often stated that the price of the Bermudan depends primarily on ...
• 76
1 vote
65 views

### How to deal with the deterministic $y$ in the d-dimensional gaussian model

Suppose that under the risk-neutral measure $\mathbf{Q}$ we have an HJM framework dynamics for the instantaneous forward rate $$df_{t,T} = \left(\ldots\right) dt + {}^t \sigma_f (t,T) d W^{Q}_t$$ ...
• 113
60 views

### Understanding simple calibration of Hull-White process

I've encountered issues with understanding how to calibrate the Hull-White model without Quantlib package. I want to calibrate this model for the time series of short-rate ($r_1, \cdots,r_n$). I will ...
1 vote
100 views

### Step by step integration of the Hull-White SDE

I'm struggling to understand the integration process of the Hull-White equation: $$dr(t)=[\nu(t)-ar(t)]dt+\sigma dW(t)$$ In the majority of the references that I have ...
• 61
1 vote
67 views

114 views

### Bond option price under hull-white model with different settlement and expiration dates

I am aware of bond option (lets say, call option) price formula under Hull-White model, for example, here - https://www.applied-financial-mathematics.de/sites/default/files/Teaching/...
96 views

### Euribor 3M simulation

I am required to simulate the trajectory of the Euribor3M rate as it is crucial for determining the future cash flows of my derivative instrument. I've received guidance to employ the Hull-White model....
63 views

### Forward ZC bond with Hull-White model

I am interested in finding the price of a forward zero coupon bond B(t0,t1,t2) under the Hull-White model. To arrive at this result, it makes sense to proceed in this way: calculate ...
1 vote
38 views

### Multiple factor Hull-While and yield curve deformation

I am currently studying rate models and I understand that the One-Factor model has some incompleteness: The yield-curve can only be shifted. But I don’t understand what parameter controls this shift ( ...
117 views

• 2,501
1 vote
93 views

### Hedge robustness of the one factor Hull White model

I recently came across a quote in a book: "All single factor models share the limitation that shifts in curve levels cause shifts in the package of vanilla options that are a good hedge for the ...
• 2,501
65 views

### A forward contract to buy a foreign currency can be handled by a linear model

In Hull's book, he says that: "An example of a derivative that can be handled by the linear model is a forward contract to buy a foreign currency." Then he continues with, "For the ...
• 101
229 views

### Implication of forward-rate dynamics when the short-rate follows a normal process

In the section 3.2.3 of the second edition of "Interest Rate Models - Theory and Practice" by Brigo and Mercurio, the forward-rate dynamics implied by the CIR model is derived as follow: The ...
• 23
1 vote
37 views

### Hull & White 1F - What is the appropriate calibration portfolio for Libor indexed structured note?

I'm wondering what is the best swaptions or caps portfolio I could use to calibrate the two parameters of H&W 1F model for a structured note with optionality on Libor underlying. Let's suppose ...
• 11
1 vote
2k views

### Trinomial Trees for Hull-White model

I am studying trinomial trees and trying to implement them in Python to compare them to the monte carlo simulation. I searched 3-4 hours in the web; but can't find any implementation on binomial or ...
• 11
1 vote