HI, I'm trying to calibrate a 1F HW model to the EUR swaptions market and am hitting a few problems.
I am using a matrix of standard atm swaptions premia, out to 10y (1y1y, 1y2y, ... 1y9y; 2y1y, ...2y8y; ... ; 9y1y) sourced from bberg.
The problem is that I can calibrate to small individual sets of swaptions (e.g. the 1y forward starting only) and match quite accurately to market vols, but then all other premia are mispriced (e.g. 2yf).
My model projects a distribution of yield curves at each point forward in time, but for each point (e.g. 1y) this distribution appears to be only a distribution of parallel shifts on the expected shape of the yield curve at this point, with the variation driven by the distribution of the short rate at the 1y point.
How can the HW model reflect he volatility structure at all forward points and tenors, if their is no stochastic variation of the forward curve: do I need to use a 2F mode? should I simply recalibrate for every forward point?
I'm fairly new to this model, so I feel like I'm missing something obvious. Any help appreciated.