Re: Matching results between HW tree and simulation models

Posted by Gouthaman Balaraman on May 22, 2015; 8:55pm
URL: http://quantlib.414.s1.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p16582.html

Peter

Thank you for clarifying. Now I understand what you meant. The tree itself is constructed in such a way that the expectation of the discount factors matches the market discount factors. Would you agree that if you used the tree to price a derivative, then the valuation of derivative will depend on the grid spacing?

Thanks again for your comments. It was very helpful.

Goutham