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 Interest-Rate Trees” Journal of Derivatives. 2. Hull, J.; White, A (1994): “Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models” The Journal of Derivatives.my figures should be correct.What confuses me is the zick-zack outline of the graphical representation on sheet “Grafik” of the calculated interest rates in the tree which might be due to the mean reversion effekt. Question:Does the interest rate chart look ok or does it look unusual for somebody familiar with the output of H.W. models?I attached the code. Fell free to experiment with it. Short code instruction:• pls open the file • the data you see is from a previous calculation • to start a new calcualtion, press "clear" and "start" • to manipulate the calculation, you can change the values of the yellow and green fields in the "input" section ("periods" and "expansion")• the interest chart I am talking about is on sheet “Grafik” Thank you very much for your help!

Hi, haven't checked the complete code. However, the state prices for period 2 - 4 (Q-Werte) look strange to me. Adding them all up should yield the prices of the zero coupon bonds for period 1 - 4 respectively. However, this isnt't so (I assume that the yield curve is given in the sheet "Marktdaten"). Strange: after period 5 they are ok.So you might want to check the calculation of the state prices.

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.