Hi,I have question regarding calibration of single factor HW model with time varying volatility.Correct me if i am going wrong in my approach* Initially we start with short rate value and short rate yield volatility and generate the interest rate tree. * alpha and sigma to be adjusted so that initial term structure of cap and swap options are matched.In single factor model with constant vol. only alpha at each time step needs to be estimated to match the yield curve. Could anyone guide me on how alphas and vols are simultaniously adjusted in case of time varying vol HW model.rgds,VK

Do not need fedge factor to do the calibration?