Fairmat repository1.9
Version1.1.8
Version date23.11.2018
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Hull-White one factor model

License: Free
Author: Fairmat srl

A no-arbitrage model which is the industry standard for modeling the future interest rate dynamic. The plug-in implements the one-factor version of model and the possibility of calibrating it to a cap volatility matrix.

Tags: stochastic process, calibration, short rate, interest rates
Downloads: 2129