2 votes

Euribor 3M simulation

If you are within a EURIBOR 3M discounting framework, just use the definition of EURIBOR 3M in terms of discount factors. $$ L\left(t, T, T + \text{3M}\right) = \frac{1}{\delta\left(T, T + \text{3M}\...
siou0107's user avatar
  • 2,680
2 votes

QuantLib: null term structure set to this instance of index

The index requires a fwd curve to calculate the ibor fwds. ...
user35980's user avatar
  • 1,386
1 vote

Step by step integration of the Hull-White SDE

Start with $d(e^{(at)}r(t))=e^{at}(-ar(t)dt+vol*dW(t)+ar(t)dt+v(t)dt)$ Integrate both sides with limits. That's all there is. Forward is the expectation of the spot, once you have the spot from here.
Arshdeep's user avatar
  • 2,045
1 vote

Are instantaneous short rates compatible across models?

It can be a reasonable assumption if for whatever reason you needed to use a different model for the instantaneous short rate. But if you calibrated them separately, you would get different $\beta_0$ ...

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