Hello, I am reading about multi-factor short rate models, like CIR2++, CIR3++, 2-Factor Black-Karasinski model...
Analytical solution to price derivatives such as caps/swaptions does not exist for such models. A possible approach is to calibrate these models using Monte Carlo simulation. We generate scenarios using a set of parameters and then we price the derivate. Repeat the process by changing the values of the parameters and find a solution that minimizes the error.
One could guess the initial values of the parameters by visualizing the vol surface. This could be wild guessing for a newbie.
Has anyone dealt with these models where a semi-analytical solution is available to price derivatives?