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

<p>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.</p>