Re: Matching results between HW tree and simulation models

Posted by Peter Caspers-4 on May 23, 2015; 3:36pm
URL: http://quantlib.414.s1.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p16583.html

yes, a derivative depending on more than today's yield curve would be
dependent on the spacing.
Peter

On 22 May 2015 at 22:55, gouthambs <[hidden email]> wrote:

> 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
>
>
>
>
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