quantlib.processes.hullwhite_process.HullWhiteForwardProcess

class HullWhiteForwardProcess(HandleYieldTermStructure h, Real a, Real sigma)

Bases: ForwardMeasureProcess1D

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
diffusion(self, Time t, Real x)
drift(self, Time t, Real x)
expectation(self, Time t0, Real x0, Time dt)
factors(self)
size(self)
std_deviation(self, Time t0, Real x0, Time dt)
variance(self, Time t0, Real x0, Time dt)

Attributes

a
forward_measure_time
sigma
x0