I want to ask a question with reference to a paper from below link


Minimization specified in Page 14:

Mean reversion rate and diffusion comes out same for all tenors?

In other words, can I state calibration is done to derive one "mean reversion rate" and diffusion for entire term structure ?



1 Answer 1


That's right. Calibration is done in other to obtain one 'a' (mean reversion rate) and one sigma for the entire curve. This case is referred to as the Hull White model with constant mean reversion, i.e. the parameters are not time dependent.


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