- Joined
- 11/6/16
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Hello everyone,
I am a MSc in Finance student and currently writing my master thesis about the Hull-White two factor model. Unfortunately, I have some problems with the implementation in Excel. I am not too experienced with Quantitative Finance and therefore implement it in Excel by hand (no VBA programming). I have set up the three-dimensional trinomial tree Right now I am not sure how to continue with pricing caps, floors and swaps. Can someone please give me some advice about how to continue or does anyone know if there a document out there with a good example for the pricing with the Hull-White 2 factor model? Your help would be very much appreciated!
P.S.: below you can find the excel file I'm currently working on (I put in some random numbers for the parameters for now, just in case you are wondering).
I am a MSc in Finance student and currently writing my master thesis about the Hull-White two factor model. Unfortunately, I have some problems with the implementation in Excel. I am not too experienced with Quantitative Finance and therefore implement it in Excel by hand (no VBA programming). I have set up the three-dimensional trinomial tree Right now I am not sure how to continue with pricing caps, floors and swaps. Can someone please give me some advice about how to continue or does anyone know if there a document out there with a good example for the pricing with the Hull-White 2 factor model? Your help would be very much appreciated!
P.S.: below you can find the excel file I'm currently working on (I put in some random numbers for the parameters for now, just in case you are wondering).
