Hi,I am trying to implement Brigo and Mercurio's G2++ model and want to reproduce the results they have on p167 (In the 3rd column of the table),for this I need the zero curve. The zero curve they used in the example is only given as a chart - Figure 1.1 (if I have missed it as a table in the text, then great, please let me know which page). Does anyone have the actual numerical numbers to a high level of accuracy (rather than just reading off the graph) of the zero curve in Figure 1.1? I guess if I don't have the zero curve, I can can use their formula (given that they provide the a,b,\sigma, \eta, rho which they worked out for the model) to work out the zero curve, but I would rather try and work out a,b,\sigma, \eta \rho myself.Thanks for your help, Tony

This is what I used (from Bloomberg)time DF Yield0.08 0.996052616 0.048030.50 0.97716273 0.0467421.00 0.954345222 0.047282.00 0.91065025 0.047353.00 0.866980671 0.048154.00 0.824117395 0.048955.00 0.78177024 0.049856.00 0.739866193 0.050857.00 0.698369239 0.051958.00 0.65922741 0.052779.00 0.623141901 0.0532510.00 0.587107992 0.0539715.00 0.433012021 0.05658520.00 0.319260158 0.0579130.00 0.178155088 0.058338

Thanks for that secret2.Cheers,Tony