figshare
Browse

(Method III) model parameters (ρ included) calibrated to 20Y co-terminal and 10Y-2Y spread.

Download (418.78 kB)
figure
posted on 2023-02-23, 18:35 authored by Myeongsu Choi, Hyoung-Goo Kang

Panels A, B, and C show the mean reversions, volatility parameters, and correlation coefficient, respectively, calibrated with the one-step method. Here, the correlation coefficient stands out and is sensitive to changes in market data. Whereas, the mean reversion parameter hardly moves, the others change dramatically.

History