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hiroshima
Topic Author
Posts: 3
Joined: August 24th, 2018, 12:42 pm

Hull&White single factor model for interest rate

August 24th, 2018, 1:52 pm

Hello !

I am now working on the calculation of the CVA. To do this I need to make a Hull&White single factor model on Matlab that will enable me to compute the exposures. In HW model I have 10 dates and I simulate 100 trajectories and I had some questions:
1)is it normal if each trajectory is totally random and does not look like an interest rate curve ? 
2)from my HW model, how do you suggest me to compute the exposures ? 

Thank you very much !