C# (CSharp) HullAndWhiteOneFactor Namespace

Classes

Name Description
CapHW1 This class implements the HW1 model for pricing of a Cap (caplets portfolio) and a Floor (floorlets portfolio).
CapsHW1OptimizationProblem Implementation of HW1 Calibration Problem (Caps matrix based).
CapsHWEstimator
CapsHWEstimatorLegacy
HW1
HW1Choice
HWCompactSimulator Implementation of a simple Monte Carlo Simulator for the Hull and White model.
SwaptionHW1 This class provides closed form pricing of for Swaptions (the holder has the right to pay the fixed rate and receive floating rate) using the HW1 factor model.
SwaptionHW1OptimizationProblem Implementation of HW1 Calibration Problem (Swaption matrix based).
SwaptionHW1RealWorldEstimator
SwaptionHWEstimator
TestHW1
TestHW1BondCall
TestHW1Cap
TestHW1Caplet