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Adex17
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Posts: 2
Joined: May 26th, 2013, 11:51 am

calibrating hw1f with financial instruments

May 28th, 2013, 3:41 am

Hello,I am trying to calibrate HW 1-factor model to price a structured product which1. pays floating 6-month Euribor + spread2. receives cms 10y * xLet us suppose we need to use swaptions to calibrate the model, which option tenors/swap legth would you use to calibrate the model and what is the general method used when I need to choice these instruments?ThanksA.
 
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Catch22_av
Posts: 63
Joined: May 14th, 2009, 6:22 am

calibrating hw1f with financial instruments

May 28th, 2013, 12:36 pm

If you had searched the forums it would have led you the the the below threads where I had asked a similar questions and some of the seniors were kind enough to answer.Hull White 1 Factor - Swaption CalibrationHull White 1 Factor - Negative Mean Reversion
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