The BasicHullWhite Model


BasicHullWhite is a simple implementation of the Hull-White model. The Hull-White model is a short rate model represented by the stochastic differential equation:

\[dr(t) = (\theta(t) - a r(t))dt + \sigma dW\]

BasicHullWhite preforms Monte-Carlo simulations and generates paths of the instantaneous short rate based on the Hull-White model. Many properties of the Hull-White model are analytically solvable, and BasicHullWhite also includes formulas analytically solving for the properties.

Formulas for the Monte-Carlo simulation perform computation fast, as they operate on numpy vectors to process all scenarios at once.

All the contents are defined in HullWhite space.

Model Specifications

The HullWhite Space


The main Space in the BasicHullWhite model.