Hull White Term Structure Simulations in Python 

Hi Max Meng, I have a question about the parameter calibration. I looked at the previous video you had made couple of years ago on HW1F calibration. How does the calibration flow work here ? Do we assume long term mean levels \theta(t) such that it coincides with the yield of ZC bonds over different maturities of t and then Calibrate \alpha and \sigma using option instruments (such as swaption or cap or floor )? Also , let us say that we are valuing Bermudan swaptions under AMC approach using HW1F model , wouldn't it make sense to work with time varying volatility ?

💐 P r o m o s m