CapeTools IR Processes
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In total there are 1 functions present within the CapeTools IR Processes category of functions.
General Description
Functions to construct short-rate model simulation process objects.
Currently, we only have one model defined and that is a single-factor Hull-White (extended Vasicek) Forward short-rate Model process object. Defined as : dr_t = (theta(t) - alpha*r_t)dt + sigma*dW_t, where alpha and sigma are constants
You can set up your own simulation of these processes by using the functions contained within the CapeTools (Full) IR Process Simulation or CapeTools (Compact) IR Process Simulation category of functions.
Function list.
- HullWhite1FProcess - Creates a Single-factor Hull-White (extended Vasicek) Forward ShortRate Model process object.
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