Hull-White Trinomial tree probabilities

Discussion in 'SP6' started by Edwin, Nov 24, 2012.

  1. Edwin

    Edwin Member

    I just want to confirm if we can be asked to construct the H-W trinomial tree for the short-rate and consequently if we need to remember the pu, pd and pm formulas for all the three branching methods?
     
  2. Edwin

    Edwin Member

    SORTED, I can now derive all of them without much effort i.e Figures a) b) and c).
     
  3. David Hopkins

    David Hopkins Member

    No, I don't think you'd be expcted to know these formulae.
     
  4. Oxymoron

    Oxymoron Ton up Member

    Yeah, just worked this out myself. It's actually straightforward - and it gives more understanding about the H&W itself. I'm entering panic mode now with slightly more than 2 months to get more of these things sorted out!
     

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