Posted by
Peter Caspers-4 on
May 19, 2015; 5:50pm
URL: http://quantlib.414.s1.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p16579.html
Hi Goutham,
I am not sure. I have the 8th edition and in this it is chapter 30
(Interest Rate Derivatives: Models of the short rate), section 30.7 A
general tree-building procedure, in particular what is described under
"Second stage", which reads " ... however, we want a tree with finite
dt to match the term structure exactly. We therefore use an iterative
procedure to determine the \alpha's." which is then described in the
following.
Best regards
Peter
On 19 May 2015 at 17:44, gouthambs <
[hidden email]> wrote:
> Peter
>
> Thanks for pointing to these resources. I still haven't had a chance to
> completely understand your response. I have the Hull book, and I believe you
> are referring to the zero coupon bond price expression in the trinomial
> trees section (Eq 28.25 in my sixth edition copy under "Using Analytic
> Results in Conjunction with Trees" section). Is this what you were referring
> to?
>
> Goutham
>
>
>
>
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p16576.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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