Package org.drip.dynamics.hullwhite

Hull White Latent State Evolution
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    ShortRateUpdate
    ShortRateUpdate records the Metrics associated with the Evolution of the Instantaneous Short Rate from a Starting to the Terminal Date.
    SingleFactorStateEvolver
    SingleFactorStateEvolver provides the Hull-White One-Factor Gaussian HJM Short Rate Dynamics Implementation.
    TrinomialTreeNodeMetrics
    TrinomialTreeNodeMetrics records the Metrics associated with each Node in the Trinomial Tree Evolution of the Instantaneous Short Rate using the Hull-White Model.
    TrinomialTreeSequenceMetrics
    TrinomialTreeSequenceMetrics records the Evolution Metrics of the Hull-White Model Trinomial Tree Sequence.
    TrinomialTreeTransitionMetrics
    TrinomialTreeTransitionMetrics records the Transition Metrics associated with Node-to-Node Evolution of the Instantaneous Short Rate using the Hull-White Model Trinomial Tree.