Questions tagged [hullwhite]
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128 questions
0 votes
1 answer
54 views
Convergence of Numerical Methods on Lookback Options in R
I have been practicing using R code for my Quant course and I came across an issue when testing the convergence of numerical methods for lookback options to the analytical solutions provided by Hull ...
1 vote
0 answers
92 views
Obtaining the dynamics of the LGM (Hull-White) short rate (Brigo and Mercurio Toolkit)
I'm struggling with the following problem: I have a diffusion of the short rate under a numeraire associated measure $Q^N$ of the form: $dr(t) = (...)dt+ H'(t)\alpha(t)dW_t^N$ This is the short rate ...
0 votes
0 answers
65 views
Combining simulated risk-neutral trajectories for XCCY swaps valuation: Joint simulation or scenario mixing?
I’m working on the simulation-based valuation of cross-currency swaps (XCCY), specifically EURUSD XCCY swaps. I have independently simulated: SOFR dynamics under a Hull-White 1F model (risk-neutral ...
- 21
1 vote
0 answers
83 views
Delta of an assets portfolio
I need to compute explicitely the deltas of my asset portfolio to a change of $x_0$ and to a change of $S_0$. I don't get it because I consider $x_0$ and $S_0$ as constants, and not variables. Am I ...
user82629
1 vote
1 answer
181 views
QuantLib Python: generating forward rates from Hull White simulated short rates
I am generating interest rate paths through Hull White (1M SOFR for 50 years, monthly) and would also like to generate multiple forward zeros for each point on the path, e.g. 10y1m forward starting ...
- 11
1 vote
0 answers
181 views
Is it possible to combine Hull-White and SABR?
Currently, I am working on a Monte Carlo simulation for a path dependent interest rate product that I want to hedge. In my current simulation I am using a simple discretized Vasicek shortrate process. ...
0 votes
0 answers
157 views
One-factor Hull-White calibration using Caplet prices (Black model)
I am facing some issues calibrating a Hull-White model. My ultimate goal is a stochastic model for a specific (refinancing) interest rate for companies with a certain rating, lets say rating "B&...
- 11
2 votes
0 answers
139 views
Why does the mean short rate in my QuantLib Hull-White model diverge from the forward curve over time?
I’m simulating short rates using QuantLib’s Hull-White model and plotting the continuously compounded 1-day SONIA rate. I compare the mean short rate from 10,000 simulated paths to the forward curve, ...
- 91
0 votes
0 answers
184 views
To calibrate model volatility, why does one-factor Hull-White Model not just use implied volatility from Swaptions?
For Swaptions of various expiry/tenor combinations, market (implied) volatilities are readily available. For Swaptions with missing expiry/tenor combinations, their market volatilities are linearly ...
- 11
0 votes
1 answer
192 views
Pick the price of plain bond off Hull-White Tree
Since we can use Hull-White tree to calculate the price of a option embedded bond, which can be achieved by the QuantLib pricing engine TreeCallableFixedRateBondEngine, can this engine be also used to ...
1 vote
0 answers
143 views
Impact of Skew on Bermudan Swaptions
I'm trying to understand the impact of different skew assumptions on the pricing of Bermudan swaptions, e.g. 10NC1 struck at K%. It is often stated that the price of the Bermudan depends primarily on ...
- 86
1 vote
0 answers
111 views
How to deal with the deterministic $y$ in the d-dimensional gaussian model
Suppose that under the risk-neutral measure $\mathbf{Q}$ we have an HJM framework dynamics for the instantaneous forward rate $$df_{t,T} = \left(\ldots\right) dt + {}^t \sigma_f (t,T) d W^{Q}_t$$ ...
- 123
1 vote
1 answer
332 views
Step by step integration of the Hull-White SDE
I'm struggling to understand the integration process of the Hull-White equation: \begin{equation} dr(t)=[\nu(t)-ar(t)]dt+\sigma dW(t) \end{equation} In the majority of the references that I have ...
- 61
1 vote
0 answers
189 views
Calibrating Hull White volatility on swap rate volatility
I'm strugling with the Hull-White 1F model. I'am trying to calibrate the volatility with the swap rate volatility. Here is the model I'am curently working on : $$ \begin{align} dr_t = a(b-r_t)dt + \...
- 11
0 votes
1 answer
148 views
Euribor 3M simulation
I am required to simulate the trajectory of the Euribor3M rate as it is crucial for determining the future cash flows of my derivative instrument. I've received guidance to employ the Hull-White model....
- 1