0
$\begingroup$

Which is the simplest short rate model that generates ZCB vol skew ? I want to use it afterwards and do simple "on paper" qualitative development about its dynamic(I don't need a model I can calibrate or price)

Thanks

$\endgroup$
1
  • $\begingroup$ Bachelier or shifted lognormal model for the short rate. $\endgroup$
    – Frido
    Jul 28, 2023 at 8:57

0

Your Answer

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