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hull_white_one_factor/simulate_Hull_White_One_Factor.py

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import numpy as np
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import pandas as pd
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def simulate_Hull_White_One_Factor(r0: float , a: float, sigma: float, t, f):
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def simulate_Hull_White_One_Factor(r0: float , a: float, sigma: float, t, f) ->pd.DataFrame:
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""" Simulates a temporal series of interest rates using the One Factor Hull-White model
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Form of the model is dr_{t} = [theta[t] - alpha * r_{t-1}] dt + sigma * dW_{t}
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interest_rate_simulation = simulate_Hull_White_One_Factor(r0, alpha, sigma, t, f)

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