- 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.
Package: financial