Tradermaster,I recommend you to make cases (concrete ones) if you firmly believe BGM or Cheyette or HW2F do not merit any practical uses at all. When some models are popular among practioners for a long while, it doesnt mean they are the best. But it would certainly mean they are likely to have some desired features that justify their existence. Several of us have already reiterated the distinction between Cheyette and HW2F. If you have a point to make against our arguments, do feel free to make your cases and arguments. But please try not to over-generalize. Putting BGM asides, I think Cheyette is one of the few that can give you closed form ZCB prices even embedding with local vol and stochastic vol into the model. In IR modelling, this is one of the nicest thing you can hope for.

QuoteOriginally posted by: tw813Tradermaster,I recommend you to make cases (concrete ones) if you firmly believe BGM or Cheyette or HW2F do not merit any practical uses at all. When some models are popular among practioners for a long while, it doesnt mean they are the best. But it would certainly mean they are likely to have some desired features that justify their existence. Several of us have already reiterated the distinction between Cheyette and HW2F. If you have a point to make against our arguments, do feel free to make your cases and arguments. But please try not to over-generalize. Putting BGM asides, I think Cheyette is one of the few that can give you closed form ZCB prices even embedding with local vol and stochastic vol into the model. In IR modelling, this is one of the nicest thing you can hope for.Hi there,if you had a superior model that helped you make heap of money, would you tell the world your secrets? I guess not. So accept what i said as my comments on classical models, be it Cheyette, BGM or the like...