It's a simple model mis-specification, nothing to worry about. Try another model...

To go one step further, I would say that LSE and PCA have nothing in common. LSE output is the orthogonal projection in a L2 space whereas PCA output is an ordered orthogonal base with decreasing projected entropy.

<t>An other questionFor a model like Body. Suppose I simulate the regime transition time and now consider the model conditionaly to this transition times.For the original model with 3 regimes, there are two possible jumps when you are in a specific regime. Conditionaly to the transition times, you k...

<t>An other questionFor a model like Body. Suppose I simulate the regime transition time and now consider the model conditionaly to this transition times.For the original model with 3 regimes, there are two possible jumps when you are in a specific regime. Conditionaly to the transition times, you k...

Using a different model for each regime, are wa sure a risk neutral probability will exist ?

Hi there,Can anyone give ideas :Every year, payment of :pay off = number of days where CMS 10 years >CMS 2 years / 365

My question which can be a closed one would be :Usually a riskfree world and a historic one. How to link them ?

Anyone to bring an idea of how to calculate other than at the money swaption volatility ?

Hi there do you have these articles ?

Hi,what kind of information do you need ?