Fairmat repository1.9
Version1.0.9
Version date19.04.2013
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Hull-White two factors model

License: Free
Author: Fairmat srl

This plug-in implements the two-factor Hull-White model. It is usually better to use the two factor model when pricing a derivative whose payoff depends on rates at different maturities.

Tags: stochastic process, short rate, interest rates
Downloads: 1353