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Suppose we have a set of $N_T$ maturities $\tau_t$ and a set of $N_k$ strikes $K_k$ .For each maturity-strike combination $(\tau_t,K_k)$ we have a market price (for example) $Caplet(\tau_t,K_k)=C_{tk}$ and a corresponding model price $Caplet(\tau_t,K_k,\Lambda)=C^\Lambda_{tk}$ in which $\Lambda$ is Hull-Whit's Parameters. The first category minimize the ...

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Anything that is used for discounting is by definition an "interest rate". But then the question arises what is the appropriate choice of interest rate to use for discounting pension liabilities. There are many possibilities (many interest rates). Some want to use the expected return on the stock market as the interest rate. That is a very bad choice ...

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You earn coupons on a corporate bond portfolio and in this sense corporate bond yield is an interest rate. But it is important (especially in liability driven investment) to recognise that corporate bond yield has two quite different components: credit spread and riskfree interest rate. To quote from Wikipedia Corporate bond: "High Grade corporate bonds ...

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