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Implementing the One-Factor Hull–White Short-Rate Model

Article Quant Q&A · Author: Leon
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Summary

The document asks how to implement the one-factor Hull–White short-rate model described in a cited paper and whether an R package supports it. The replies point readers toward QuantLib for C++ and RQuantLib for R, presenting them as possible implementation resources.

It does not explain the model’s equations, calibration, or implementation steps, and it gives no comparison of package capabilities. The suggestions are starting points rather than evidence that either package implements the particular model variant or paper’s procedures. Researchers should check the libraries’ current documentation and verify that their required features are covered.

Key ideas

  • The question concerns implementing a one-factor Hull–White short-rate model.
  • QuantLib is suggested as a C++ resource for interest-rate modeling.
  • RQuantLib is suggested as a possible resource for R users.
  • The replies do not establish whether either library covers the exact model variant requested.

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Fixed incomeDerivatives pricing
Full text
# Implementation of one-factor Hull-White short interest rate model


# Implementation of one-factor Hull-White short interest rate model












I am looking for implementation in R, VBA, C++, Python (or in any other programming language) of one-factor Hull-White short rate interest model according to the following article:

Hull J. and White A., "The General Hull-White Model and Super Calibration", Financial Analysts Journal, volume 57, issue 6.

Link:

https://www.cfapubs.org/doi/abs/10.2469/faj.v57.n6.2491

Is there any R package which covers model mentioned above?

## Answer by Andrew (score 2)

https://quant.stackexchange.com/a/37199

Learning Quantlib just for this implementation seems kinda like an overkill to me. But the RQuantlib Package could be very useful: https://cran.r-project.org/web/packages/RQuantLib/RQuantLib.pdf

## Answer by mygut (score 1)

https://quant.stackexchange.com/a/37196

For C++, you may wish to have a look at what is done in Quantlib.

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