0
$\begingroup$

The formula for the volatility of interest rates under Hull white model is

enter image description here

It appears to be an increasing function of tenor. However, the forward rate volatility curve is downward sloping with maturity.

kindly let me know your valuable thoughts.

$\endgroup$
1
  • $\begingroup$ Mean reversion? $\endgroup$
    – Kurt G.
    Jul 6 at 5:21

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.