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How to estimate the Mean reversion

This is classic. For pricing, under RN measure, MR (curve) need to be calibrated to market data. If you calibrate jointly to caps and swaptins, you want the vol curve to mostly pick up expires, and ...
achirikhin's user avatar
1 vote

How to estimate the Mean reversion

Typically, the zero curve that is used for calibration is originally backed-out from market prices. Then it’s interpolated and used to calibrate the mean-reversion parameter. This is basically the ...
THATS MY QUANT MY QUANTITATIVE's user avatar

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