Fairmat repository1.6
Version1.0.6
Version date19.04.2013
Requirements
Documentation View
Source Source

Hull-White two factors model

License: Free
Author: Fairmat srl

This plug-in implements the two-factor Hull-White model. It is usually better to use the two factor model when pricing a derivative whose payoff depends on rates at different maturities.

Tags: stochastic process, short rate, interest rates
Downloads: 878