quantlib.processes.hullwhite_process.HullWhiteProcess

class HullWhiteProcess(YieldTermStructure 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.

dr_t = a(r_t-n) dt + \sigma dW^r_t

__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

sigma

x0