Step-by-Step Guide to Calibrating the Hull-White 1F Model

We will start with the assumption that we have access to an initial yield curve. Using this initial yield curve, we will determine the forward curve. $$F(0,t) = \frac{\partial}{\partial t}\big(R(0,t)\,t\big) = R(0,t) + t\,\frac{\partial R(0,t)}{\part...