# Questions tagged [hullwhite]

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### Two Factor Hull White Model Calibrate

I have a question about the optimizer method to calibrate the parameters of two factor hull white model. I have the analytical pricing formula for cap and market cap price. There are five parameters ...
47 views

### Pricing of the compound coupon bond with PDE

I am now studying finance math using Steven E.Shereve's book. Using Interest Rate models, We can the price for zero-coupon with maturity price $1$ under Hull-White interest rate model[page 274] and ...
82 views

### Discount factor in Hull-White model

Consider a Hull-White model $dr(t)=\left(\theta(t)-a(t) r(t)\right) dt + \sigma dW(t)$ with parameters $a=0.1$ $\sigma=0.3$ $\theta(t)$ was calibrated to match $P(0,t)=\exp(-\mu t)$ with: $\mu=0.2$...
66 views

### Formula for quantiles of swaprates in the 1-factor Hull-White model

Is there a closed formula to approximate the quantiles of swaprates in the 1-factor Hull White model? Background The Hull-White is a Gaussian model for the short rate. Its mean and covariance ...
115 views

### Hull-White calibration volatility as a function of time

I need some help for the parametrization of the volatility parameter in the Hull-White model. I have the necessary Caplet vols and I calibrated the HW model to match the Caplet and hence the Cap ...
61 views

### Hull White Cap/Floor calibration

I have a problem and I hope someone could help me. I calibrated the Hull-White model to Caps and Floors from t=0 so the bond prices are equivalent to todays term structure. See: Hull-White zero-...
172 views

### Why co-terminal swaptions are that important?

Usually Hull & White is calibrated to co-terminal swaptions. When asking why specifically co-terminal, I get the response that it is just a choice and it depends on the use we intend to do with ...
43 views

### Swap rate in the annuity measure and Martingale Representation Theorem

As we know, swap rate evolves as a martingale in the appropriate annuity measure. Martingale representation theorem says if I can find a Brownian motion in the annuity measure and the swap rate is ...
145 views

### Cap price as bond options

I am currently struggling with model calibration of the Hull-White (or Vasicek) model to Caps and Floors. My main problem is that I am confused about the notation. In Brigo & Mercurio (2006, p. ...
296 views

### Implementation of the Hull and White short rate model

This is the first time I'm using quantlib, and I wanted to compare the velocity of quantlib with my own Python code. I found a tutorial about Hull and White to generate the short rate paths with ...