dt in hwv class

Hello everybody. Can anyone tell which is the default value of dt used in the hwv class to generate the short rates for Hull-White model?

Thank you.

Answer 1

[Kiran Felix Robert]

Hi tiziano,

The HullWhite1F class documentation contains all the specifications of the model. Read through the name value pair properties for more details.

The simTermStructs functions simulates the model, refer the ‘deltaTime’ name-value pair for specific details. It takes a default value of 1.