<t>"I am not sure and definitely not sure how to associate them with the points on the curve."The way I understand it:through model calibration, we try to learn about the instantaneous volatilities on the (continuous) forward curve and libor curve. We only observe functions of the (forward) volatili...

<r>I am working on calibrating the BGM model for a class project, mainly using two papers by Brigo as references. But I got the MATLAB code almost working but could not replicate Brigo's results.If someone else is working on the same problem, I can share the code. perhaps another set of eyes will sm...

<t>Kanivan,I am also a student of math finance, and am working on Hull's book as well.I believe your analysis is right for the regular forward contract, but the question is on foreign currency, so you need to take care of the foreign interest rate.The value of the original contract to the bank at T1...