<t>I got the book / linked articles (I had only the different papers on hull-white tree construction before) and followed the example given but instead of using a total analytical approach and an option price formula I would like to use a constructed trinomial interest rate tree of the short rate (t...

I will check and let you know if I figured it out. Concerning the program, I tried the macro on two other machines without any problems, but it`s good to know that problems might occure on other systems.I appreciate the time you spent on my questions – many thanks for your advices!

<t>Thank you for your advice, but I am still lost - sorry for being so blind...I wrote a VBA Code which follows exactly the procedure outlined in Hull-White until the discounting of the option price back through the tree on p. 8, table 7. To calculate the Bond Price P(t,T) needed to calculate the Op...

<t>Hi,I am fighting with the VBA programming of the Hull-White Model and the calculation of an option on a coupon bond. I am able to calculate an option on a zero-bond (the interest rates have already been calculated) but I am unsure how to integrate the coupon payments. The coupon will always be pa...

<t>Hi Aaron, the program should calculate coupon bond options through Hull-White (trinomial) interest rate trees. I think I found a way around the differential in A C++ Encoded Hull-White Interest Rate Tree-Builder on page 7. At least I get the same results as stated in the original Hull-White paper...

Thank you for your help. Unfortunately I did not fully understand your suggestion. You are right that t=0 shortens the equations a lot but t won’t be 0 in the program I am trying to write based on the paper. Pls. could you explain even more detailed?

<t>Unfortunately I am not a finance expert and on my own...Currently I am struggling with the calculation of the instantaneous forward rate r in Hull-White: “Using Interest Rate Derivatives (p. 3).The equation should yield F(0,3)=0,078304 with P(0,3)= 0,827673348 and t=3 but how do you calculate thi...

<t>Thanks again. It helped a lot and reinforced partially what I was thinking / reading. Unfortunately I am not a finance expert and completely on my own which makes things slightly more complicated for me… Another simple thing I am stuck with and I almost don’t dare to ask, is the calculation of th...

<t>Hello, I have some questions concerning the discounting procedure in Hull-White (H.W.) Trinomial-Trees. Based on the calculated short rates of a H.W. tree, I would like to discount Zero - and Coupon Bonds.1. I am unsure how to deal with the mean reversion effect when discounting back through the ...

Excellent advice, thank you! I was not aware of the fact that the Q-Values have to some up to the corresponding spot rate - maybe it is quite obvious , but it wasn't to me . It makes debugging much easier to have such kind of a checksum.

<t>Hello,Unfortunately I am not a finance neither an excel expert but I got the assignment to implement the Hull-White One Factor Term Structure Model in Excel in order to do some calculations. According to the examples I found in the Literature: 1. Hull, J.; White, A. (1996): „Using Hull-White Inte...