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