Hi Luigi
to be more precise:
as a matter of fact the hull-white model theoretically allows for negative
rates, it depends on the transition probabilities associated to the corresponding
branches of the tree which I was unable to extract.
I don't know whether with the current assignment of transition probabilities
(consider the sigma is quite low in this case) the negative rate is allowed
in this particular case, though.
Debugging the bermuda swaption engine I got even more negative rates (i.e.
discounts of 1.3-1.4 after rollback).
Luca
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