quantlib.processes.hullwhite_process.
HullWhiteProcess¶
- class HullWhiteProcess(HandleYieldTermStructure risk_free_rate_ts, Real a, Real sigma)¶
Bases:
StochasticProcess1D
Hull-White process
a diffusion process for the short rate, with mean-reverting stochastic variance.
- Attributes:
- a
- sigma
- x0
Methods
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)