Creating Hull-White/Vasicek (HWV) Gaussian Diffusion Models

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Sol
Sol on 9 Sep 2011
Answered: Swapper on 5 Jul 2016
how do I pass a time dependent function to Level parameters instead of constant? any examples? obj = hwv(0.2, 0.1, 0.05) % (Speed, Level, Sigma)

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Answers (2)

Peter Koetzing
Peter Koetzing on 22 Mar 2013
I second this request! The Econometrics Toolbox is poorly documented and it's a pitty that no one offers help ...
Swapper
Swapper on 5 Jul 2016
Anyone found an answer to this one, the toolbox does not explain it al all..

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