# Questions tagged [short-rate]

A short-rate model is a mathematical model that describes the evolution of interest rates

121 questions
Filter by
Sorted by
Tagged with
26 views

### Zero-coupon call in CIR model

In an excellent textbook Brigo & Mercurio, I have a difficulty to derive a zero-coupon call option (3.26). What I did here didn't follow a stream of the main text. I assumed (3.28) and derived (3....
37 views

### Understanding simple calibration of Hull-White process

I've encountered issues with understanding how to calibrate the Hull-White model without Quantlib package. I want to calibrate this model for the time series of short-rate ($r_1, \cdots,r_n$). I will ...
1 vote
63 views

### Step by step integration of the Hull-White SDE

I'm struggling to understand the integration process of the Hull-White equation: $$dr(t)=[\nu(t)-ar(t)]dt+\sigma dW(t)$$ In the majority of the references that I have ...
1 vote
40 views

### EURIBOR dependent product pricing

3M Euribor rates still exists (see https://www.ice.com/) and there still exist structured products depending on them : for instance a CMS spread whose udnerlying CMS rates depend on it. But also range ...
857 views

### CallableFloatingRateBond in QuantLib: just a matter of multiple inheritance?

I would like to know what are the issues related to a possible CallableFloatingRateBond class in QuantLib and to have some hints on implementation. My (very ...
1 vote
32 views

### Multiple factor Hull-While and yield curve deformation

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 ( ...
42 views

### Instantaneous forward rate function to use in HJM framework

HJM framework uses the instantaneous forward rate $f(t,T)$ in the resulting dynamics and pricing formulas (like in Hull-White or Ho-Lee model). But clearly market does not have an $f(t,T)$ formula, so ...
178 views

### How to convert the parameters of multi-factors cheyette model (quasi-Gaussian model) from tenors to factors?

The book "Interest Rate Modeling" by Andersen and Piterbarg is an extermely fascinating book on interest rate derivatives. Recently, I have encoutered some issues while reading this book. ...
66 views

1 vote
163 views

1 vote
299 views

### Affine Structure Resolution for the Vasicek model

I would like to now how to solve the PDE of the affine structure under Vasicek.I am delineating the steps: First let's posit the OU process under a Risk Neutral Measure such as : \begin{align*} \...
1 vote
111 views

### Simulating the path for Interest Rate

There are many ways to short term rates like Ho-lee process, HW process. However I failed to understand how this information can ...
1 vote
130 views

### Short rate models practical textbook

Currently working on a validation and testing of a yield curve model (one factor short rate model). Have been reading Andersen and Piterbarg, and Mercurio and Brigo. Good for true understanding, but ...
1 vote
179 views

### Longstaff and Schwartz example in their paper

I was looking at the well known Longstaff and Schwartz paper "Valuing American Options by Simulation: A Simple Least-Squares Approach". There are a couple of examples where they applied the ...
141 views

### Euro short-term rate (€STR) question

Based on the latest data published by ECB,€STR = -0.56%. Is this the rate a bank would pay to borrow overnight or it's an annualised overnight rate so the actual overnight rate can be approximated ...
6k views

### Vasicek model calibration

I am trying to calibrate Vasicek model, i.e. to determine the parameters $\kappa, \mu, \bar{\mu}$ and $\sigma$ where the process dynamics are given through  dr_t=\kappa\left( \mu - r_t\right) dt+\...