VBA code for Hull-White trinomial tree

JensDK · February 7th, 2006, 10:22 am

Hi,I am looking for VBA code for implementing Hull-White model to fit the market yield curve, but with contant volatility parameters.Some code for using this to price bermudian option would be very helpful.Many thanks Jens

Edwyn · February 7th, 2006, 1:34 pm

Not sure whether this works for you but at least containing a very simple trinomial tree builder.You need to calibrate first to the market yield curve to get the Nelson Siegel parameters, and then to the swaptio implied volatilities to get the HW parameters.

cosmologist · February 8th, 2006, 6:39 am

great,new to programming and you are in-charge of bermudans,you must be a genius.cheers

cosmologist · February 8th, 2006, 6:54 am

QuoteOriginally posted by: EdwynNot sure whether this works for you but at least containing a very simple trinomial tree builder.You need to calibrate first to the market yield curve to get the Nelson Siegel parameters, and then to the swaptio implied volatilities to get the HW parameters.Hi ,great job.I think you need to relook into your codes a bit more carefully.cheers

JensDK · February 9th, 2006, 9:20 am

thanks for your reply Edwyn.. I allready have the Nelson-Siegel-parameters, though, and to start out I borrow H-W parameters, say a=0,1, sigma=0,01... in order to focus on the program for the bermudian spread option, which seems a little tough.. then returning to the order problems later :-)thanks Jens