Main category
Economics (General Management)
Abstract
The calibration procedure takes only an interest rate curve as input (ignoring volatility surfaces) and results in adjusting the “alpha” parameter of the model. To test the calculations over a range of parameters, we used the “piece-wise constant parametrization” mode.
Further reading
https://ia904704.us.archive.org/2/items/callableInverseSwap/callableInverseSwap.pdf
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