Zero Coupon Bond under Hull-White Model

Posted by Fred

Zero Coupon Bond

Input:
Speed of reversion (a)
Instantaneous volatility (sigma)
Time to maturity (T)
Time t
Interest rate (r) at time t %
Price of zero-coupon bond for a maturity t
Price of zero-coupon bond for a maturity T
Instantaneous forward rate for a maturity t as seen at time 0 %
Output:
Price of Zero Coupon Bond at time t for a maturity T

The calculation is based on Hull-White model, dr=(theta-ar)dt+sigma*dw.

Tagged: Zero Coupon Bond Calculator, Short Rate Model, Hull-White Model

 •  Feb 15, 2014  • 

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