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- February 8th, 2005, 3:57 am
- Forum: Technical Forum
- Topic: Calculating Mean Reversion for 1-Factor Hull-White
- Replies: 5
- Views: 163302
Calculating Mean Reversion for 1-Factor Hull-White
1) Calib to ITT swaption like you did;2) Calib to caplets;3) Calib to the blend of above two.and that's it