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edit approved Jun 11, 2015 at 13:31
Quantopik
edit approved Jun 11, 2015 at 13:31
Quantopik
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sinceSince markets are showing negative interest rate, I'm forced to find a model that can catch this behaviour. Due toBecause of that, I have implemented and calibrated the G2++ (or the Hull-White 2 Factors) for the EURIBOR 6 Months. The

The EURIBOR 6M has already been calibrated, but I also need to model the indexes EURIBOR OIS, EURIBOR 3M and EURIBOR 12M at the same time.

Do you know how to model these ibor indexes? 

Shall I model the basis spread? or shall I implement also the G2++ for the rest of indexes?

If we implement the G2++ for the rest of indexes and we execute a Monte Carlo, we may get some trouble when indexes twist. I mean, in some cases EURIBOR 3M could become greater than EURIBOR 6M and theoretically it shouldn't be allowed.

Any idea about stochastic basis models?

Thank you very much in advance!

since markets are showing negative interest rate, I'm forced to find a model that can catch this behaviour. Due to that, I have implemented and calibrated the G2++ (or the Hull-White 2 Factors) for the EURIBOR 6 Months. The EURIBOR 6M has already been calibrated, but I also need to model the indexes EURIBOR OIS, EURIBOR 3M and EURIBOR 12M at the same time.

Do you know how to model these ibor indexes? Shall I model the basis spread? or shall I implement also the G2++ for the rest of indexes?

If we implement the G2++ for the rest of indexes and we execute a Monte Carlo, we may get some trouble when indexes twist. I mean, in some cases EURIBOR 3M could become greater than EURIBOR 6M and theoretically it shouldn't be allowed.

Any idea about stochastic basis models?

Thank you very much in advance!

Since markets are showing negative interest rate, I'm forced to find a model that can catch this behaviour. Because of that, I have implemented and calibrated the G2++ (or the Hull-White 2 Factors) for the EURIBOR 6 Months.

The EURIBOR 6M has already been calibrated, but I also need to model the indexes EURIBOR OIS, EURIBOR 3M and EURIBOR 12M at the same time.

Do you know how to model these ibor indexes? 

Shall I model the basis spread? or shall I implement also the G2++ for the rest of indexes?

If we implement the G2++ for the rest of indexes and we execute a Monte Carlo, we may get some trouble when indexes twist. I mean, in some cases EURIBOR 3M could become greater than EURIBOR 6M and theoretically it shouldn't be allowed.

Any idea about stochastic basis models?

Thank you very much in advance!

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SciPhy
SciPhy
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Negative Interest Rate & Basis Models

since markets are showing negative interest rate, I'm forced to find a model that can catch this behaviour. Due to that, I have implemented and calibrated the G2++ (or the Hull-White 2 Factors) for the EURIBOR 6 Months. The EURIBOR 6M has already been calibrated, but I also need to model the indexes EURIBOR OIS, EURIBOR 3M and EURIBOR 12M at the same time.

Do you know how to model these ibor indexes? Shall I model the basis spread? or shall I implement also the G2++ for the rest of indexes?

If we implement the G2++ for the rest of indexes and we execute a Monte Carlo, we may get some trouble when indexes twist. I mean, in some cases EURIBOR 3M could become greater than EURIBOR 6M and theoretically it shouldn't be allowed.

Any idea about stochastic basis models?

Thank you very much in advance!