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Old 08-10-2017, 04:40 AM
louislobas louislobas is offline
Join Date: Aug 2017
College: Fifth year actuary studies
Posts: 4
Default Help - Calibrate Hull & White model


I'm an actuary student currently doing an internship in a bank. My task is to create a credit risk model and in order to simulate interest rates I need to use the Hull & White and Vasicek models.

However I'm struggling to calibrate my rates.

I started by doing in interpolation by cubic splines to my rates to get an expression of the instantaneous forward rate (f(0,t)) and thus the short rate (r(0)).

For the Vacisek model, i calibrated the parameters on the bond prices which gave me satisfying results.

As for the H&W model, it follow automatically the current bond prices so I have to calibrate it on either caps or swaptions but i really know which derivates to take (in term ok stiker and maturity).

Could someone be friendly enough to guide me and help me to understand?

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