Editing Hull–White model (section)

==Monte-Carlo simulation, trees and lattices==
However, valuing vanilla instruments such as caps and swaptions is useful primarily for calibration. The real use of the model is to value somewhat more [[exotic derivatives]] such as [[bermudan swaption]]s on a [[Lattice model (finance)|lattice]], or other derivatives in a multi-currency context such as Quanto Constant Maturity Swaps, as explained for example in Brigo and Mercurio (2001). The efficient and exact [[Monte-Carlo simulation]] of the Hull–White model with time dependent parameters can be easily performed, see Ostrovski (2013) and (2016). An open-source implementation of the exact [[Monte-Carlo simulation]] following Fries (2016)<ref>{{cite journal |last= Fries |first= Christian |date=2016 |title=A Short Note on the Exact Stochastic Simulation Scheme of the Hull-White Model and Its Implementation |url=https://ssrn.com/abstract=2737091 |journal=SSRN |doi=10.2139/ssrn.2737091 |access-date=October 15, 2023|url-access=subscription }}</ref> can be found in finmath lib.<ref>{{cite web |url=https://github.com/finmath/finmath-lib/blob/master/src/main/java/net/finmath/montecarlo/interestrate/models/HullWhiteModel.java |title=HullWhiteModel.java |website=finmath lib |publisher=finmath.net |access-date=October 15, 2023}}</ref>