I am using a Hull & White model to simulate forward rates on US swap curve from the 1.10.2012. This is a part of a bigger picture, and I am interested in some reasonable values for the parameters alpha and gamma. Exactly calibrated values are not needed, so I thought it would be faster to ask here :)

i.e. I want alpha and gamma so that the HJM-volatility is

$\sigma(t_i,t_j) = \alpha * e^{-\gamma (t_j-t_i)}$

and gives a reasonable shape. Top of the head-answers are encouraged.


1 Answer 1


With Fairmat Academic / Data-Link we obtain the following values: alpha=0.022, sigma=0.009.

Fairmat Academic can be freely downloaded from http://www.fairmat.com/downloads

While the code used to calibrate the hull and white model can be found on GitHub: https://github.com/fairmat/InterestRatesModels

  • 3
    $\begingroup$ You should disclose your affiliation with Fairmat. $\endgroup$ Commented Jan 8, 2013 at 12:24

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