Create HullWhite onefactor model
The HullWhite onefactor model is specified using the zero curve, alpha, and sigma parameters for the equation
$$dr=[\theta (t)a(t)r]dt+\sigma (t)dW$$
where:
dr is the change in the shortterm interest rate over a small interval.
r is the shortterm interest rate.
Θ(t) is a function of time determining the average direction in which r moves, chosen such that movements in r are consistent with today's zero coupon yield curve.
α is the mean reversion rate.
dt is a small change in time.
σ is the annual standard deviation of the short rate.
W is the Brownian motion.
OBJ = HullWhite1F(ZeroCurve,alpha,sigma)
constructs
an object for a HullWhite onefactor model.
For example:
Settle = datenum('15Dec2007'); CurveTimes = [1:5 7 10 20]'; ZeroRates = [.01 .018 .024 .029 .033 .034 .035 .034]'; CurveDates = daysadd(Settle,360*CurveTimes,1); irdc = IRDataCurve('Zero',Settle,CurveDates,ZeroRates); alpha = .1; sigma = .01; HW1F = HullWhite1F(irdc,alpha,sigma);
The following properties are from the HullWhite1F
class.

Attributes:
 

Mean reversion specified either as a scalar or function handle which takes time as an input and returns a scalar mean reversion value. Attributes:
 

Volatility specified either as a scalar or function handle which takes time as an input and returns a scalar mean volatility. Attributes:

simTermStructs  Simulate term structures for HullWhite onefactor model 
The HullWhite model is a singlefactor, noarbitrage yield curve model in which the shortterm rate of interest is the random factor or state variable. Noarbitrage means that the model parameters are consistent with the bond prices implied in the zero coupon yield curve.
Value. To learn how value classes affect copy operations, see Copying Objects in the MATLAB^{®} documentation.
Hull, J. Options, Futures, and Other Derivatives, PrenticeHall, 2011.