Hull-White 1-factor model using R code

This post explains how to simulate short rates, discount factors, future spot rates, and so on using the Hull-White 1 factor model with given calibrated parameters. We summarize important model blocks using previous post for clear understanding and finally implement them sequentially for simulation using R code. Hull-White 1-factor model using ... The post Hull-White 1-factor model using R code first appeared on R-bloggers.
http://dlvr.it/S1gVhK

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