Hi bearish,I will hopefully do the g2++ model afterwards but really hoped to get something realistic with the 1F and I have seen papers where they input the mean rev and bootstrap to get the sigma piecewise constant.thank youlequocle

Hello,In what range should the mean rev of an HW1F be for the USD? Are we talking about 20% or 0.20%? I am trying to get an idea of what the ballpark is currently.Thank you for your input!lequocle

ok got it!thanks

<t>Hi Andrew, Yes I agree with what you say, the simulated short rate includes the change of measure and I will think about it and hopefully figure it out too!So hopefully my toy example implementation is correct, I had a sudden doubt at the end and since the results looked quite good qualitatively ...

<t>Hi Andrew, When dealing in fwd measure, the drift indeed is adjusted by the sigma x beta(t,T) but essentially the diffusion is the same as in risk neutral. However, my P(t,T) (defined by exp(alpha(t,T)+beta(t,T)r(t)) in Risk neutral) under the fwd measure change too because of the alpha(t,T), rig...

HiThank you. I will keep you informed of my findingslequocle

<t>Hi Andrew,Yes the numeraire value will be different based on the measure. I initially used T-fwd because it did seem to make it simpler to deal with but now as you seem to mention it the trade off might not be worth it for CVA calculation.Regarding the MC itself, I don't really know how it is don...

<t>Andrew,so just to make sure I understand what you are saying, from the r_t I diffuse under the terminal fwd measure (or the money mkt acc) then I get all the P(t,T) which define the yield curve at each time t. From these curves then I use the sum of discounted Cash flows to get the MTM of that sw...

Thanks Andrew.I appreciate your input regarding the trade off between the 2 measures, I will try both.

<t>Hi,In HW1F when changing the measure to the fwd measure using the terminal one, do I have to amend the swap formula by dividing the each cash flow prior to the maturity T by the P(T_i, T)? or do I still use the classic formula from the generated curves?I thought of using the fwd measure to diffus...

I apologize and please do not take it as a lack of consideration. I shall refer to the formula as Kirikos-Novak from now on.Thank you for your explanation.

Thanks. Maybe people on the Street actually don't look at it... or maybe they just don't say it and we don't know who does it right and who gets picked off.

<t>Hi,I am wondering if people in the street are looking at the convexity adjustment for Euro$ futures and the potential impact of discounting at OIS.When I talk around I hear the same thing: Kirikos [amended: and Novak] formula or Hull White adj formula with... mean rev at 0.03... I feel that there...

<t>Hi, Thanks. Indeed it is most likely a convexity effect but I was wondering how practically this was implemented and assess on the swap curve. Reading the Salomon Bro. papers I understand the rationale of having probability weighted scenarios hence my question of rate diffusion and so on which se...

Hi,It looks I don't have much success here... No one has a clue? Or is it more a quant question?thanks