ESG Tool

ESG Tool is risk-neutral interest rates scenario generator based on Hull-White model. Model defines dynamics of interest rate, which is used to build a set of scenarios of future developments.

Tool consists of 4 interconnected modules:

  • Yield Curve model - inter/extrapolation applying Nelson-Siegel or Swenson model
  • Hull-White model - model dynamics, risk neutral valuation, calibration, short rate simulation
  • Simulator (or Scenario Generator) - short-rate simulation interface allows to build and validate short rate scenarios set.
  • Exporter - set of short-rate, money market account rates and discount factors, zero-coupon yields and zero-coupon bonds prices, forward rates, PAR rates

Some modules may be used separately if needed.

For further information please contact us.


Please contact us for further information!