<t>QuoteOriginally posted by: manolomboth sides of the equation are random vars. => taking expectation under any measure would lead to both expectations being equal. Remember also that expectation is linear.Hi.. Thank you for replying :-)Not quite sure if I understand the answer however. Are you say...

HiTrying to figure out if the relation r(t) = x(t)+alpha(t) from page 74 in Brigo & Mercurio still holds under the forward measure ?

Come on guys ? Please help me out here !

MAybe someone could at least let me know if it is correct that the forward measure for CIR++ is the same as for CIR(just replacing rt with xt) ?

<t>Hi guysI have programmed 3 matlab models(HW- ext vasicek, G2++ and CIR++) and calibrated them to 20 Payer swaptions. My implied volatility is on average off from 6 % (G2++) to 9 % (CIR++). These numbers are relative and calculated as the numerical mistake divided by the market price times 100. An...

<t>If what I have done is correct then I will have to look for the answer to my overall problem.I have calibrated the Hull-White extended Vasicek, The G2++ & the CIR++ model to swaption prices(10 year payer swaption). These models are then used for pricing a structured bond. The 2 first models g...

Sorry I mean 3.66, not 3.60

<t>Hi guysI'm modelling 3 different interest rate models under the T-forward measure and using these to price dervitives.My question is regarding the T-forward measure in the CIR++ model. In brigo I read it as the forward measure for CIR++ and CIR is the same(formula 3.27 or 3.28). Is this correctly...

Come on guys!This is probably a piece of cake for most of you. Please help me out!

Hi alltrying to simulate the evolution of the CIR forward measure (Formula 3.28 in brigo & Mercurio).Can't quite figure out how it works. Is there any place to read how to implement it ? Thanks

<t>Hi allI am working on a G2++ model but to get the model to give me somewhat the prices of 10 year swaptions in the market the volatility has to be over 2 % which looks kind off high to me. Especially when I use this model to price other derivatives my prices seem off, and when I set the volatilit...

<t>Hi guysBuilding a couple of interest rate models (g2++ & HW Vasicek) and in the process i need to calibrate them to swaptions in the market. My question is regarding the strike price. The swaption prices available in Datastream are all ATM. Does this mean that the different times to maturity ...

Hmmmm...Is the lack of answer because the question is to hard or to dumb? I will gladly elaborate if the question is not understood. Hope someone will help

More specifically i am having trouble handling x(s) and y(s). For the Hull white model its pretty easy becasue there is only 1 factor. In this model x(s) is simply equal to r(s) - alpha(s). It is the equivalent for the g2++ model i am looking for but cant figure it out

<r>Hi AllReally having trouble making the expected value of the g2++ model under the forward measure discrete. The formula is the one stated at the top of page 155 in Brigo & Mercurio. I am trying to make a lot of paths with this formula and thereby having a lot of possible scenarios and hereaft...