In the paper "Evaluating and Hedging swap instruments via LGM", on page 14, displayed equation (5.6), there appears to be a typographicalerror in passing from the second integral to the third. Instead of the square of the differences [$](H_i-H_0)^2[$], there should appearthe difference of the squares [$]H_i^2-H_0^2[$] (and similarly for the additional term containing [$]H_n[$]). Also, the next line should notcontain the term [$]\zeta_e[$] in the gaussian density after the change of variables from [$]x[$] to [$]y[$]. In contrast to other typos scattered across this paper, this particular one is not entirely harmless, as it results in wrong equations for the calibration process. In particular, the equation defining the breakeven point [$]y^*[$] is wrong. Two other papers of Hagan on the subject contain exactly the same errors.
Last edited by newbanker
on May 28th, 2014, 10:00 pm, edited 1 time in total.