Please forgive me if I sound too ignorant, I know there is a formula to calibrate theta(t), that involves instantaneous forward rate and first derivative of instantaneous forward rate, how do you code these in, what variables represent these? I am using the simulation approach.Thankscr

In Hull's book, it says that that theta function can be calculated from the intitial term structure, is theta supposed to be a function of time, so how is theta (t) calibrated?thanks,cr

<t>Hi there,I am just like some of you, a new-comer in this quants world. Recently, I was given a project to creat interest rate paths using Hull-White model. I took a look at the spreadsheet that you guys posted, it is very useful, however, it looks pretty complicated to me, especially, when I was ...