Create demo Hull White model.

Description

Create demo Hull White model. Will be used for discounting and forecasting any indices specified.

Example Sheet

EPE.xlsx

Arguments

  • objectName The name that this object will be assigned on the map. Should be unique.
  • meanReversion (Double)The constant rate of mean reversion.
  • flatVol (Double)The constant short rate volatility. Note that this is a Gaussian vol and will in general be lower than the vol that would be used in Black.
  • baseCurve (IDiscountingSource)The curve to which zero coupon bond prices will be calibrated.
  • forecastIndices (FloatRateIndex)The indices that should be forecast with this same curve. No spreads are added.