Note
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Short rate paths#
Short rate paths generated by the Monte Carlo simulation. The first 10 and 100 paths are plotted.
See also
Overview of BasicHullWhite notebook in the
economic
library
![Short rate paths, 10 scenarios, 100 scenarios](../../_images/sphx_glr_plot_ex1_short_rate_paths_001.png)
import modelx as mx
import matplotlib.pyplot as plt
HW = mx.read_model("BasicHullWhite").HullWhite
paths = HW.short_rate_paths()
fig, axs = plt.subplots(2, 1, sharex=True, sharey=True)
fig.suptitle("Short rate paths")
for size, h in zip([10, 100], [0, 1]):
for i in range(size):
axs[h].plot(range(HW.step_size + 1), HW.short_rate_paths()[i])
axs[h].set_title(str(size) + ' scenarios')
Total running time of the script: ( 0 minutes 0.236 seconds)