2.5.5. sdepy.hull_white_1factor_process

class sdepy.hull_white_1factor_process(paths=1, vshape=(), dtype=None, steps=None, i0=0, info=None, getinfo=True, method='euler', x0=0., theta=0., k=1., sigma=1., dw=None, corr=None, rho=None)[source]

1-factor Hull-White process (F=1 Hull-White process with F-index collapsed to a scalar). See hull_white_process class documentation.

See also

hull_white_process
ornstein_uhlenbeck_process

Notes

Class added for naming convenience. Differs from a hull_white_process with factors=1 in that the last index of the process parameters has not been reserved to enumerate factors, and no factors parameter is present. Synonymous with ornstein_uhlenbeck_process.

Attributes:
See SDE class documentation.

Methods

See SDE class documentation.