Hull-white
Budget: €30 – €250 EUR
1) Calibration of the one factor hull-white model
· Import of the data base in R
· Calibration of the parameter of the HW model (mean and sigma).
o Initial value for mean = 0.05
o Initial value for sigma = 0.05
· Pricing of the swaption using the HW
· I need to calculate the RSME
· Sensitivity analysis
Sensitivity of swaption prices to changes in parameters in HW 1 factor model.
Perform a calibration on 30/9/2022 to 30/06/22 and on 31/03/22 in order to see the evolution (1) of the parameters (and the probabilistic characteristics of the models, among other means and variance of the short rate r (1) in one year, as well as rate 10 in Y_10(1)).
· Import of the data base in R
· Calibration of the parameter of the HW model (mean and sigma).
o Initial value for mean = 0.05
o Initial value for sigma = 0.05
· Pricing of the swaption using the HW
· I need to calculate the RSME
· Sensitivity analysis
Sensitivity of swaption prices to changes in parameters in HW 1 factor model.
Perform a calibration on 30/9/2022 to 30/06/22 and on 31/03/22 in order to see the evolution (1) of the parameters (and the probabilistic characteristics of the models, among other means and variance of the short rate r (1) in one year, as well as rate 10 in Y_10(1)).