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In Vasicek model, we have the following relation to get Discount factors given the value of short rate: $$P(t\,,T)={{e}^{A(t,T)\,-\,B(t,T){{r}_{t}}\,}}$$

So, Discount factors are known as soon as we know the short rate. But then in some references like Glasserman (pg. 115) there is a whole subsection on "Joint Simulation [of short rate] with the Discount Factor" where he talks about simulating the pair $$({r}_{t},\int_{0}^t{r(u)}du)$$.

Piterbarg's book has something similar too. So my question is - why do we need to simulate Discount factor if we have an exact analytical result.

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    $\begingroup$ Read all of page 115 in Glasserman's book. Since the process X=(r,integral of r) is jointly Gaussian, it can be simulated with precision. We simulate X instead of simulating r and then estimating the integral of r with a sum. $\endgroup$ – AXH Dec 17 '18 at 21:20
  • $\begingroup$ @AXH thats exactly my confusion - why care about integral of r when we can calculate it's exact value analytically. Also, given we can exactly simulate r too, simulation precision cannot be the reason to simulate X. But since several references do it this way, there must be a reason. $\endgroup$ – InnocentR Dec 17 '18 at 22:00

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