Last updated: 2023-03-16.

Module: tf_quant_finance.models.hull_white

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TensorFlow Quantitative Finance tools to build Hull White type models.

Classes

class CalibrationResult: Collection of calibrated one factor Hull-White parameters.

class HullWhiteModel1F: One Factor Hull-White Model.

class VectorHullWhiteModel: Ensemble of correlated Hull-White Models.

Functions

bermudan_swaption_price(...): Calculates the price of Bermudan Swaptions using the Hull-White model.

bond_option_price(...): Calculates European bond option prices using the Hull-White model.

calibration_from_cap_floors(...): Calibrates the Hull-White model using the observed Cap/Floor prices.

calibration_from_swaptions(...): Calibrates the Hull-White model using European Swaptions.

cap_floor_price(...): Calculates the prices of interest rate Caps/Floors using Hull-White model.

swaption_price(...): Calculates the price of European Swaptions using the Hull-White model.