Hi,
it is quite a standard model, you can take a look at math formulas inside
"Interest Rate Models, Theory and Practice" by D. Brigo and F. Mercurio. Once
read, you should find QL implementation quite straightforward.
regards,
André
Quoting Luigi Ballabio <
[hidden email]>:
> On Sat, 2010-05-15 at 21:22 -0400, Krishna Manchiraju wrote:
> > Is there a note somewhere to describe the implementation of Hull and
> > White model in Qlib.
>
> Not yet, sorry.
>
> Luigi
>
>
> --
>
> The idea that an arbitrary naive human should be able to properly
> use a given tool without training or understanding is even more
> wrong for computing than it is for other tools (e.g. automobiles,
> airplanes, guns, power saws).
> -- Doug Gwyn
>
>
>
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