I am currently studying rate models and I understand that the One-Factor model has some incompleteness: The yield-curve can only be shifted. But I don’t understand what parameter controls this shift ( mean-rev, volatility, theta ..) And concercing the multiple factors model ( For example a 2-factors hull-white) how can I change parameters to visualize a yield curve deformation ( inverted yield curve …)for example? All your answers / materials are welcome. Thank you in advance.

  • $\begingroup$ Any idea about it ? $\endgroup$ Jan 15 at 18:29


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