Calculates best-fit risk neutral transition matrix for a given input of cumulative percentage probabilities of default for rating categories as mentioned in Hull's book on Options and Derivatives, section 26.7 (Fourth or Fifth edition. I don't know if this section is there in 6th edition)

Results are matched to table values as mentioned in the section.

Note:
levmar is an open source software for optimization in C++
Refer FAQ section thread if there are issues in running this program

Calculates bond price and bond option price in Hull White model using analtical formulas as described in Brigo's book.
For sake of clarity/simplicity, it is assumed a flat forward term structure. A single value for continously comounded forward rate is input along with other parameters of Hull white process.
On clicking the button, forward bond price and Call and put option prices will be calculated.
I have tested results agree with Quantlib output

Calculates bond option price in Hull white model. Term structure input is assumed constant flat forward with continuous compunding.
Monte carlo simulation is based on simulating short rate in T-forward measure, and calculating the bond price at the end of each simulation.
Results of call and put option prices are compared with analytical formula.

Blundell/Ward filter 'decorrelates' a return time series

Here I have tried doind MC simulation of short rate under forward measure using analytical formula for Expected mean and variance of short rate under forward measure.(The formulas are given in Brigo's book)
During each simulation I am generating a random variable with Ert_T and varrt_T, and use bond price formula to cache initial A(t,T) and B(t,T) values.
where
Ert_T : Expected value of short rate under T-forward measure
varrt_T : variance of short rate under T-forward measure