Function Reference: hwv

Function File: HWV = hwv (Speed, Level, Sigma)

Function File: HWV = hwv (Speed, Level, Sigma, OptionName, OptionValue, …)

Creates an object to represent a Hull-White/Vasicek (HWV) diffusion.

dX_t = (Speed(t) * (Level(t) - X_t))dt + Sigma(t)dW_t.

See the @sde documentation for a list of optional arguments.

See also: sde.