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Easy · options_pricing · Quant Researcher interview question · options-pricing, interest-rates, hull-white, bond-pricing, fixed-income
The Hull-White (1990) one-factor model extends Vasicek by exactly fitting the initial yield curve, making it a workhorse model for interest rate derivatives and fixed-income risk systems. Its affine term structure yields a closed-form zero-coupon bond price that is essential for Monte Carlo discount-curve generation and analytical delta/gamma computation. Task Implement the function solution(kappa: float, theta: float, sigma: float, r0: float, T: float) -> float to calculate the price of a zero