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CIR++ forward measure
Hi guysI'm modelling 3 different interest rate models under the T-forward measure and using these to price dervitives.My question is regarding the T-forward measure in the CIR++ model. In brigo I read it as the forward measure for CIR++ and CIR is the same(formula 3.27 or 3.28). Is this correctly understood ? I don't quite understand the reference to formula 3.60 which is what confuses me.
CIR++ forward measure
If what I have done is correct then I will have to look for the answer to my overall problem.I have calibrated the Hull-White extended Vasicek, The G2++ & the CIR++ model to swaption prices(10 year payer swaption). These models are then used for pricing a structured bond. The 2 first models give me similar results which I believe to be credible, but the CIR++ if off. The parameters I get for the CIR++ model aresigma=0.10927;xzero=0.00128;theta=0.09429;k=0.0674181;
CIR++ forward measure
MAybe someone could at least let me know if it is correct that the forward measure for CIR++ is the same as for CIR(just replacing rt with xt) ?
CIR++ forward measure
Yes, it's the same, except of course for the phi-term.