Hull-White 1F Pricer

High-performance, zero-dependency C++20 Hull-White one-factor interest rate model library for CVA and exotic derivatives pricing.

Features

• Hull-White 1F model with exact discretization (not Euler)
• Analytical pricing: European swaptions (Jamshidian), caps/floors, ZCB options
• Monte Carlo engine: template-based, multi-threaded with Sobol QRN support
• Exotic products: Bermudan swaptions (LSM), callable bonds, range accruals
• CVA calculation: exposure profiles (EE/EPE/PFE), netting sets, credit curves
• Calibration: Levenberg-Marquardt optimizer for swaption vol surface fitting
• Zero external dependencies: all math hand-rolled (normal CDF, Sobol, linear algebra)

Requirements

• C++20 compiler (MSVC 2022, GCC 12+, Clang 15+)
• CMake 3.25+

Build

cmake -B build -DCMAKE_BUILD_TYPE=Release
cmake --build build --config Release
ctest --test-dir build -C Release

Examples

./build/Release/example_bond_pricing
./build/Release/example_swaption_calib
./build/Release/example_bermudan
./build/Release/example_cva