Create demo Hull White model.

Description

Create demo Hull White model. Will be used for discounting and forecasting any indices specified.

Example Sheet

EPE.xlsx

Arguments

  • objectName The name of the object to be created.
  • meanReversion The constant rate of mean reversion.
  • flatVol The constant short rate volatility. Note that this is a Gaussian vol and will in general be lower than the vol that would be used in Black.
  • baseCurve The curve to which zero coupon bond prices will be calibrated.
  • forecastIndices The indices that should be forecast with this same cuve. No spreads are added.(FloatingIndex)