HullWhite1FProcess




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CapeTools IR Processes function list

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Creates a Single-factor Hull-White (extended Vasicek) Forward ShortRate Model process object.

Defined as : dr_t = (theta(t) - alpha*r_t)dt + sigma*dW_t, where alpha and sigma are constants.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "HWPRO"



Note: Within Excel, the function is named - CT.MOD.HullWhite1FProcess


High level graphic of HullWhite1FProcess() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. alpha parameter

    alpha parameter, default value is 0.1.
  4. sigma parameter

    volatility parameter, default value is 0.01.
  5. IndexKey parameter

    Index Key to an already constructed Index object. Any rates computed between any two mandatory dates will have a FwdSpread added onto it if this object is passed in and contains a valid Forward Spread curve. In additional fixing date information are retrieved from this object (ie - number of days for fixing, holiday rules etc...).
  6. YCKey parameter

    Key to an already constructed yieldcurve object.


Extended information

Function Syntax

VB Syntax 


String CTIRProcesses.HullWhite1FProcess( _
String Key, _
Long Reload, _
Double alpha, _
Double sigma, _
String IndexKey, _
String YCKey)


Excel Spreadsheet Syntax 


=CT.MOD.HullWhite1FProcess(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel Numeric Cell alpha,
Excel Numeric Cell sigma,
Excel String Cell IndexKey,
Excel String Cell YCKey)


C++ Syntax 


static std::string HullWhite1FProcess(
std::string Key,
long Reload,
double alpha,
double sigma,
std::string IndexKey,
std::string YCKey);


DotNET Syntax 


System.String CTIRProcessesSA.HullWhite1FProcess(
System.String Key,
System.Int32 Reload,
System.Double alpha,
System.Double sigma,
System.String IndexKey,
System.String YCKey);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
alphaDoubleFALSE
sigmaDoubleFALSE
IndexKeyStringTRUE
YCKeyStringTRUE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyHullWhite1FProcess
ReloadFALSE1
alphaTRUE0.1
sigmaTRUE0.01
IndexKeyFALSEIndexKeyNAME.EXTTAG.TICKER (from a function call)
YCKeyFALSEYCKeyNAME.EXTTAG.TICKER (from a function call)


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Simulation20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the HullWhite1FProcess() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the HullWhite1FProcess() function call


MyHullWhite1FProcess_1.HWPRO.0

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