Re: Matching results between HW tree and simulation models

Posted by jfritz on May 16, 2017; 5:43pm
URL: http://quantlib.414.s1.nabble.com/Matching-results-between-HW-tree-and-simulation-models-tp16399p18281.html

Was anyone able to find any information on good convergence from a small number of paths (perhaps from 3rd party vendors)? In much of the research I'm finding on implementing HW (and in my own calibration to swaptions), I see typical ratios of a/sigma in the range of 1 to 10. Given Goutham's comments, this would only appear to give good convergence out to about 3 years? How is anyone using these parameters to simulate paths 10, 20, 30 years out and accurately pricing cash flows them given these parameters? Any thoughts?