On this website you can calculate valuations of constant-maturity floaters under a generalized Hull–White stochastic interest rate model, choosing your data and parameters.

This site serves as a simple example of two unique technologies: the UnRisk pricing engine and the webMathematica server computation system. webMathematica provides on-the-fly computation or visualization capabilities for your website. UnRisk performs state-of-the-art pricing computations for derivatives, using Mathematica or webMathematica.

As you take the following steps, you will:

• Load and validate various maturities of swap-and-cap data.
• Use your data to calibrate the Hull–White model.
• Test how well the model fits actual market-cap prices.
• Perform a sensitivity analysis for the instrument.