CSA Caps Convexity Impact on Hull & White Calibration

Denis Papaioannou

June 15, 2013

Abstract
Prices of CSA instruments are observed in a world which is not natural for LIBOR based payos in the
sense that LIBOR forward is not martingale under CSA-forward measure. From a theoretical perspective,
pricing models for collateralized LIBOR based payos should account for CSA-convexity, implied when
changing from CSA-forward measure to LIBOR-forward measure. In practice CSA-convexity eect is
neglected. In the present paper we show how modeling jointly OIS and LIBOR using one factor guassian
short rate dynamics allows to capture CSA-convexity on caps and we measure its impact on LIBOR
volatility calibration in the Hull & White case.
Keywords: CSA convexity, Caps Pricing, Hull & White calibration, LIBOR Volatility, OIS Volatility, OIS
LIBOR Correlation

denis.papaioannou@gmail.com
Contents
1 Motivation 4
2 Calibrating GSR1F Models on Caps:
Pre and Post Crisis Methodologies 4
2.1 GSR1F modeling Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.2 Pre-Crisis Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.3 Post-Crisis Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
3 Caps CSA Convexity Calculation 7
3.1 Caps CSA Convexity Under General GSR Framework . . . . . . . . . . . . . . . . . . . . . . 7
3.2 Caps CSA Convexity Under Hull & White . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
3.3 Impact Measurement Under Hull & White Framework . . . . . . . . . . . . . . . . . . . . . . 10
Appendices 13
Appendix A Market Data 13
Appendix B Numerical Results 15
Notation
The letters C and L, when used as subscripts, will refer respectively to COLLATERAL and LIBOR.
We will use indierently collateral rate and OIS rate.
By crisis we will refer to the 2008 global crisis.
Financial Notation
GSR: Gaussian Short Rate
GSR1F model: One factor Gaussian Short Rate model
r
C
: short rate at which collateral grows
r
L
: short rate corresponding to LIBOR
P
C
(t, T) : value at time t of a zero coupon maturing at time T, associated with cost of collateral
P
L
(t, T) : value at time t of a zero coupon maturing at time T, associated with LIBOR
P
L
(t, T
1
, T
2
) : LIBOR forward zero coupon, equals
P
L
(t,T2)
P
L
(t,T1)
f
C
(t, T) : instantaneous forward collateral rate dened by f
C
(t, T) =
ln P
C
(t,T)
T
f
L
(t, T) : instantaneous forward LIBOR rate dened by f
L
(t, T) =
ln P
L
(t,T)
T
L(T
1
, T
2
) : LIBOR xing at time T
1
and whose tenor is T
2
T
1
Mathematical Notation
N() will denote standard normal cumulative distribution.
The rest of mathematical notation is summarized in table hereafter. For the sake of simplicity, we used same
notations for brownian motions and ltrations under risk neutral and forward measures.
MONOCURVE LIBOR CSA
risk neutral measure Q Q
L
Q
C
numeraires associated B B
L
B
C
brownian motions W W
L
W
C
ltrations associated F F
L
F
C
expectations E
Q
E
Q
L
E
Q
C
T-forward measure Q
T
Q
T
L
Q
T
C
numeraires associated P(, T) P
L
(, T) P
C
(, T)
brownian motions W W
L
W
C
ltrations associated F F
L
F
C
expectations E
Q
T
E
Q
T
L
E
Q
T
C
We use subscript t for conditional expectations. For instance E
Q
t
denotes expectation conditional on F(t).
To distinguish brownian motions under a same measure we use the subscript linked to the asset. For instance
W
S
will denote assets S brownian motion.
3
1 Motivation
Since 2008 crisis, the use of collateral agreements for most OTC instruments has become the interbank
market standard. This has led to important changes in interest rate instruments pricing methodology as
explained in detail in [BC2011].
Prices of collateralized instruments are observed in a CSA world which is not the natural world for LI-
BOR based payos in the sense that LIBOR forward is not martingale under CSA-forward measure Q
T
C
.
From a theoretical perspective, pricing models for collateralized LIBOR based payos should account for con-
vexity, implied when changing from CSA-forward measure Q
T
C
to LIBOR-forward measure Q
T
L
. This means
one should model jointly OIS and LIBOR dynamics to capture what we will refer to as CSA-convexity.
Currently OIS volatility and OIS-LIBOR correlation are unobservable as there are no liquid instruments
from which to retrieve them. In practice the market consensus is to neglect CSA-convexity and to adapt
collateralized instruments pricing by discounting using OIS instead of LIBOR.
In the present paper we focus on CSA-convexity calculation for interest rate caps for which we obtain
closed formulae by modeling jointly OIS and LIBOR using correlated gaussian short rate dynamics. The
same framework has been used in [K2010] in which semi-analytic formulae are obtained for swaptions that
could be used for caps as well. Developing fully closed formulae on caps simplies the study of CSA-convexity
impact, allowing fast calibration and sensitivities calculation. More importantly we show how OIS volatility
and OIS-LIBOR correlation can impact LIBOR Hull & White calibration.
For sake of simplicity we deal only with fully cash collateralized instruments, with daily margin calls (that
we assimilate to continuous margin calls), OIS rate paid on collateral, and with same currency for collateral
and instrument. This is what we will refer to when mentioning CSA instrument, which corresponds to
the majority of caps traded in the interbank market. In practice things can become more complicated as
one can have collateral currency dierent from instrument currency, optional clauses on collateral, non daily
frequency, minimum amount and other features we do not deal with in our study.
2 Calibrating GSR1F Models on Caps:
Pre and Post Crisis Methodologies
In this section we give a brief reminder of how GSR1F models are dened and the zero coupon dynamics
they imply. We show how these results were used before 2008 crisis in order to calibrate on caps and how
they are used now. For more details on GSR models the reader may refer to [AP2010].
2.1 GSR1F modeling Framework
Under GSR1F model, LIBOR short rate r
L
risk neutral dynamics write:
dr
L
(t) =
L
(t, r
L
(t)) dt +
L
(t) dW
Q
L
(t)
where
L
and
L
are deterministic functions.
L
function determines the type of GSR model considered.
For instance setting
L
(t, r
L
(t)) =
f
L
t
(0, t) +
2
L
t would dene a Ho & Lee model for r
L
.
Under this framework we can express zero coupon dynamics:
dP
L
(t, T)
P
L
(t, T)
= r
L
(t) dt +
L
(t, T) dW
Q
L
(t)
4

L
being deterministic. Moreover zero coupon bonds can be expressed as follows:
P
L
(t, T) = A
L
(t, T) e
B
L
(t,T) r
L
(t)
(1)
with A
L
and B
L
being deterministic as well, the expression of which depends on the GSR1F model considered
(Ho & Lee, Hull & White, etc.). It is clear that r
L
is normally distributed and therefore (1) implies that
zero coupons are lognormally distributed, which is the fundamental result used to calibrate GSR1F models.
2.2 Pre-Crisis Methodology
Before 2008 crisis, banks would use a single LIBOR curve framework to price interest rate options. Simply
stated, such a framework assumes LIBOR = OIS = funding rate = risk free rate. This is explained in more
detail in [G2012], chapter 4. Thus a LIBOR caplet, collateralized or not, would be priced under LIBOR
forward measure Q
T2
L
and discounted using LIBOR zero coupon:
CAPLET(t, T, K) = P
L
(t, T
2
) E
Q
T
2
L
t
_
(L(T
1
, T
2
) K)
+

which can easily be written as a zero coupon bond put

1
:
CAPLET(t, T, K) = P
L
(t, T
1
)
1

K
E
Q
T
1
L
t
_
_

K P
L
(T
1
, T
2
)
_
+
_
where

K =
1
1+(T2T1) K
.
As GSR1F models lead to lognormal distributions for zero coupon bonds, options on zero coupon bonds
can be priced using Blacks formula.
Let m
L
(t, T
1
) and v
2
L
(t, T
1
) denote respectively mean and variance of r
L
(T
1
) under Q
T1
L
|t. As P
L
(t, T) =
A
L
(t, T) e
B
L
(t,T) r
L
(t)
we can use Blacks formula as follows:
E
Q
T
1
L
t
_
_

K P
L
(T
1
, T
2
)
_
+
_
=

K N(d
2
) P
L
(t, T
1
, T
2
) N(d
1
) (2)
where
d
2
=
B
L
(T
1
, T
2
) m
L
(t, T
1
) + ln
_
A
L
(T
1
, T
2
)/

K
_
B
L
(T
1
, T
2
) v
L
(t, T
1
)
d
1
= d
2
+B
L
(T
1
, T
2
) v
L
(t, T
1
)
As v
L
is a function of
L
, the result (2) is used to calibrate GSR1F models on caps. The link between v
L
and
L
depends on the GSR1F model considered.
2.3 Post-Crisis Methodology
During 2008 crisis, as OIS-LIBOR spreads widened, it became impossible to neglect their impact on
pricing. It became clear that OIS discounting should be adopted for CSA instruments. From a theoretical
perspective, a CSA LIBOR caplet should be priced under CSA-forward measure Q
T2
C
and discounted using
OIS zero coupon (cf. [FST2009] or [P2010]):
CAPLET
CSA
(t, T, K) = P
C
(t, T
2
) E
Q
T
2
C
t
_
(L(T
1
, T
2
) K)
+

1
Refer for instance to [BM2006], section 2.6.1 for proof
5
As explained in introduction, pricing under Q
T2
C
measure induces a convexity adjustment on LIBOR dynam-
ics. This adjustment depends on unobservable parameters such as OIS volatility and OIS-LIBOR correlation.
Because of these parameters unobservability, current market practice consists in neglecting CSA-convexity
and price directly under LIBOR-forward measure Q
T2
L
instead of CSA-forward measure Q
T2
C
.
This means that the only dierence from pre-crisis methodology is discounting which uses OIS curve. When
writing the caplet as a zero coupon option we obtain:
CAPLET
CSA
(t, T, K) = P
L
(t, T
1
)
P
C
(t, T
2
)
P
L
(t, T
2
)
1

K
E
Q
T
1
L
t
_
_

K P
L
(T
1
, T
2
)
_
+
_
(3)
which is calculated as previously, using Black formula.
Comparing (2) and (3) we see that the dierence lies in the factor
P
C
(t,T2)
P
L
(t,T2)
. As OIS zero coupons are
higher than LIBOR ones, we have
P
C
(t,T2)
P
L
(t,T2)
> 1 and thus we expect lower calibrated LIBOR volatility using
post-crisis methodology. This eect is depicted in the numerical example presented in nal section.
In next section we show how to incorporate CSA convexity on caps pricing.
6
3 Caps CSA Convexity Calculation
3.1 Caps CSA Convexity Under General GSR Framework
In order to capture CSA convexity on caps we model jointly OIS and LIBOR rates using GSR1F correlated
dynamics:
dr
C
(t) =
C
(t, r
C
(t)) dt +
C
(t) dW
Q
C
(t)
dr
L
(t) =
L
(t, r
L
(t)) dt +
L
(t) dW
Q
L
(t)
Let
C,F
(t) = dW
Q
C
(t), dW
Q
L
(t)/dt denote instantaneous correlation between OIS and LIBOR short rates.
The rationale we follow now is similar to [PCG2013] where CSA convexity adjustment has been calcu-
lated on LIBOR swaps. We introduce r
L
(T
1
) = r
L
(T
1
) cvx(t, T
1
, T
2
) with cvx a deterministic function such
that r
L
distribution under Q
T2
C
matches r
L
distribution under Q
T2
L
2
.
This allows in turn to write a caplets payo at maturity using

L(T
1
, T
2
):
(L(T
1
, T
2
) K)
+
= e
B
L
(T1,T2) cvx(t,T1,T2)
_

L(T
1
, T
2
)

K
_
+
(4)
where

L(T
1
, T
2
) =
1
T
2
T
1
_
1
A
L
(T
1
, T
2
)
e
B
L
(T1,T2) r
L
(T1)
1
_

K = K e
B
L
(T1,T2) cvx(t,T1,T2)

1
T
2
T
1
_
1 e
B
L
(T1,T2) cvx(t,T1,T2)
_
As r
L
(t) distribution under Q
T2
C
matches r
L
distribution under Q
T2
L
, we have L(T
1
, T
2
) under Q
T2
L
equally
distributed with

L(T
1
, T
2
) under Q
T2
C
. We can thus write:
E
Q
T
2
C
t
_
_

L(T
1
, T
2
)

K
_
+
_
= E
Q
T
2
L
t
_
_
L(T
1
, T
2
)

K
_
+
_
Combining with (4) we obtain:
E
Q
T
2
C
t
_
(L(T
1
, T
2
) K)
+

= e
B
L
(T1,T2) cvx(t,T1,T2)
E
Q
T
2
L
t
_
_
L(T
1
, T
2
)

K
_
+
_
This nally allows to write the CSA-caplets price using measure Q
T2
L
:
CAPLET
CVX
CSA
(t, T, K) = P
C
(t, T
2
) e
B
L
(T1,T2) cvx(t,T1,T2)
E
Q
T
2
L
t
_
_
L(T
1
, T
2
)

K
_
+
_
(5)
We can already see that the dierence with current market practice (3) relies on cvx term, driving the
exponential factor e
B
L
(T1,T2) cvx(t,T1,T2)
and the adjusted strike

K:
A higher cvx term leads to a lower adjusted strike

K and a higher exponential factor. Both ef-
fects increase CAPLET
CVX
CSA
(t, T, K) value. Therefore higher cvx term implies lower calibrated LIBOR
volatility.
2
While introducing cvx term may seem somehow articial, it allows to simplify calculations. The underlying rationale
justifying cvx introduction is that applying Girsanov theorem in order to get r
L
dynamics from Q
T
2
L
to Q
T
2
C
leads to a drift
adjustment. This drift adjustment corresponds to cvx and depends on Radon-Nikodym derivative volatility, r
L
volatility and
correlation between both. Under GSR framework all these parameters are deterministic, therefore cvx too. The interested
reader may refer to [P2011] for more details on Girsanov theorem application to change measures.
7
cvx = 0 allows to recover current market practice (3) as in this case the exponential term in (5) equals
1 and

K = K.
We can express (5) as put on a zero coupon bond and price it using the exact same Black formula obtained
in 2.2, where only strike changes:

K
cvx
=
1
1+(T2T1)

K
.
CAPLET
CVX
CSA
(t, T, K) = P
L
(t, T
1
)
P
C
(t, T
2
)
P
L
(t, T
2
)
e
B
L
(T1,T2) cvx(t,T1,T2)

K
cvx
E
Q
T
1
L
t
_
_

K
cvx
P
L
(T
1
, T
2
)
_
+
_
The calculation of parameters cvx, m
L
and v
L
depends on the GSR1F model chosen. In what follows we
focus on the specic case of Hull & White dynamics.
3.2 Caps CSA Convexity Under Hull & White
In this section we show how to explicitly calculate CAPLET
CVX
CSA
(t, T, K) under Hull & White dynamics,
the latter being a specic case of GSR1F models. For sake of clarity, we assume constant short rate volatility,
the results can easily be extended to the time dependent case.
We dene Hull & White dynamics by specifying the drift term in GSR1F models as follows:

C
(t, r
C
(t)) =
C
(t) a
C
r
C
(t)

L
(t, r
L
(t)) =
L
(t) a
L
r
L
(t)
with
C
and
L
functions allowing to recover the initial OIS and LIBOR term structures respectively:

C
(t) =
f
C
t
(0, t) +a
C
f
C
(0, t) +

2
C
2a
C
_
1 e
2a
C
t
_

L
(t) =
f
L
t
(0, t) +a
L
f
L
(0, t) +

2
L
2a
L
_
1 e
2a
L
t
_
Now we have specied OIS and LIBOR dynamics we need to calculate terms E
Q
T
1
L
t
_
_

K
cvx
P
L
(T
1
, T
2
)
_
+
_
and cvx(t, T
1
, T
2
) in order to obtain CAPLET
CVX
CSA
(t, T, K) explicitly.
The term E
Q
T
1
L
t
_
_

K
cvx
P
L
(T
1
, T
2
)
_
+
_
is calculated using Black formula as explained in section 2.2. In
the Hull & White case we obtain
3
:
E
Q
T
1
L
t
_
_

K
cvx
P
L
(T
1
, T
2
)
_
+
_
=

K
cvx
N(d
2
) P
L
(t, T
1
, T
2
) N(d
1
)
where
d
2
=
1
v
L
(t, T
1
) B
L
(T
1
, T
2
)
ln
P
L
(t, T
1
, T
2
)

K
cvx

v
L
(t, T
1
) B
L
(T
1
, T
2
)
2
d
1
= d
2
+v
L
(t, T) B
L
(t, T)
v
L
(t, T) =
L

1 e
2a
L
(Tt)
2a
L
B
L
(T
1
, T
2
) =
1
a
L
_
1 e
a
L
(T2T1)
_
3
These are standard results, obtained by calculating r
L
moments m
L
and v
L
and replacing in equation (2). Refer for
instance to [BM2006] section 3.3 for proofs
8
The cvx(t, T
1
, T
2
) term calculation is demonstrated in [PCG2013]. Assuming constant volatility terms we
have:
cvx(t, T
1
, T
2
) =

L
a
L
_

L
a
L

C,F

C
a
C
_
_
1 e
a
L
(T1t)
_


2
L
2a
2
L
e
a
L
(T1+T2)
_
e
2a
L
T1
e
2a
L
t
_
+
C,F

L
a
C
(a
L
+a
C
)
e
a
L
T1a
C
T2
_
e
(a
L
+a
C
)T1
e
(a
L
+a
C
)t
_
In next section we use these results to calibrate LIBOR Hull & White model on caps taking into account
CSA convexity on a specic example.
9
3.3 Impact Measurement Under Hull & White Framework
Our aim here is to illustrate how CSA convexity can impact LIBOR Hull & White calibration. Let us
consider the simple case of a EURIBOR 6M caplet maturing in 10 years, strike at 2.5%, on a EUR 10K
notional. We assume caplet is quoting at EUR 100
4
. We assume constant mean reversion speed at 3% and
calibrate LIBOR Hull & White volatility in the following cases:
Pre-crisis setup as described in 2.2: LIBOR discounting - no CSA convexity
Post-crisis setup as described in 2.3: OIS discounting - no CSA convexity
Accounting for CSA convexity using 3.2 results, rst assuming
L
=
C
, then assuming
L
/2 =
C
and nally
C
= 0
Using EONIA and EURIBOR 6M curves as of May 7, 2013 (cf. appendix A), we obtain the results summa-
rized in the following graph:
1,4%
1,5%
1,6%
1,7%
1,8%
1,9%
2,0%
64% 74% 84% 94%
LIBOR Hull & White
Volatility
OIS-LIBOR Correlation
Pre-Crisis
Post-Crisis, No CSA Convexity
CSA Convexity, OIS vol = LIBOR vol
CSA Convexity, OIS vol = LIBOR vol / 2
CSA Convexity, OIS vol = 0
Figure 1: CSA Adjustment impact on Hull & White calibration
As expected (cf. 2.3) we obtain pre-crisis LIBOR volatility above post-crisis level.
From cvx expression we can see that:
When
C,F
= 100% and
C
=
L
we obtain cvx = 0, which allows to recover current market practice
(ie no CSA-convexity).
When
C,F
decreases, cvx increases, which leads to lower calibrated LIBOR volatility.
4
We do not take into account period accrual, that is: payo = (EURIBOR 6M 2.5%)
+
10
These two points are conrmed graphically as
C
=
L
curve (red curve) increases and approaches post-crisis
level (blue curve) when correlation approaches 100%.
Moreover we can see that the lower the OIS volatility, the lower the calibrated LIBOR volatility. The
extreme case of deterministic OIS rates (orange curve) leads to the lowest possible LIBOR volatility. We are
therefore expecting LIBOR Hull & White volatility to lie somewhere in between post-crisis level of 1.93%
and deterministic OIS level of 1.47%.
The results we obtained here show signicant sensitivities of LIBOR Hull & White volatility on both OIS
volatility and OIS-LIBOR correlation.
11
Conclusion
Modeling jointly OIS and LIBOR using GSR1F dynamics allows to capture CSA convexity on caps. We
obtained closed formulae for caps under Hull & White framework and we calculated the potential impact on
LIBOR volatility calibration. Our results show signicant impact of OIS volatility as well as OIS-LIBOR
correlation on LIBOR volatility calibration. While the numerical results presented focus on Hull & White
model, the same study could be reproduced for any GSR1F model.
12
Appendix A Market Data
Term Discount Factor
10-Jun-2013 0,99971
9-Jul-2013 0,99942
9-Aug-2013 0,99918
9-Sep-2013 0,99893
9-Oct-2013 0,99869
11-Nov-2013 0,99844
9-Dec-2013 0,99822
9-Jan-2014 0,99794
10-Feb-2014 0,99766
10-Mar-2014 0,99742
9-Apr-2014 0,99715
9-May-2014 0,99687
9-Jun-2014 0,99655
9-Jul-2014 0,99623
11-Aug-2014 0,99585
9-Sep-2014 0,99552
9-Oct-2014 0,99517
10-Nov-2014 0,99477
11-May-2015 0,99219
9-May-2016 0,98534
9-May-2017 0,97498
9-May-2018 0,96063
9-May-2019 0,94294
11-May-2020 0,92246
10-May-2021 0,90018
9-May-2022 0,87624
9-May-2023 0,85145
9-May-2024 0,82636
9-May-2025 0,80142
9-May-2028 0,72982
9-May-2033 0,63329
10-May-2038 0,55678
11-May-2043 0,49249
11-May-2048 0,43255
9-May-2053 0,37565
9-May-2058 0,32424
9-May-2063 0,27923
Table 1: EURIBOR 6M Curve as of May 7, 2013. Source: Bloomberg
13
Term Discount Factor
10-May-2013 1,00000
17-May-2013 0,99999
24-May-2013 0,99997
11-Jun-2013 0,99993
10-Jul-2013 0,99987
12-Aug-2013 0,99981
10-Sep-2013 0,99975
10-Oct-2013 0,99972
12-Nov-2013 0,99968
10-Dec-2013 0,99964
10-Jan-2014 0,99961
11-Feb-2014 0,99956
11-Mar-2014 0,99952
10-Apr-2014 0,99947
12-May-2014 0,99940
11-Nov-2014 0,99886
12-May-2015 0,99793
10-Nov-2015 0,99643
10-May-2016 0,99414
10-May-2017 0,98660
10-May-2018 0,97476
10-May-2019 0,95927
12-May-2020 0,94082
11-May-2021 0,92007
10-May-2022 0,89753
10-May-2023 0,87368
10-May-2024 0,84946
12-May-2025 0,82494
10-May-2028 0,75377
10-May-2033 0,65683
11-May-2038 0,58004
12-May-2043 0,51516
12-May-2048 0,46581
12-May-2053 0,40699
10-May-2063 0,29238
Table 2: EONIA Curve as of May 7, 2013. Source: Bloomberg
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Appendix B Numerical Results
PRE-CRISIS: POST-CRISIS: CSA CONVEXITY: CSA CONVEXITY: CSA CONVEXITY:
Correlation LIBOR DISC. OIS DISC. OIS vol = LIBOR vol OIS vol = LIBOR vol/2 OIS vol = 0
64% 1.985% 1.930% 1.72% 1.58% 1.47%
66% 1.985% 1.930% 1.73% 1.59% 1.47%
68% 1.985% 1.930% 1.74% 1.59% 1.47%
70% 1.985% 1.930% 1.75% 1.59% 1.47%
72% 1.985% 1.930% 1.76% 1.60% 1.47%
74% 1.985% 1.930% 1.77% 1.60% 1.47%
76% 1.985% 1.930% 1.78% 1.61% 1.47%
78% 1.985% 1.930% 1.79% 1.61% 1.47%
80% 1.985% 1.930% 1.80% 1.61% 1.47%
82% 1.985% 1.930% 1.81% 1.62% 1.47%
84% 1.985% 1.930% 1.83% 1.62% 1.47%
86% 1.985% 1.930% 1.84% 1.63% 1.47%
88% 1.985% 1.930% 1.85% 1.63% 1.47%
90% 1.985% 1.930% 1.86% 1.63% 1.47%
92% 1.985% 1.930% 1.88% 1.64% 1.47%
94% 1.985% 1.930% 1.89% 1.64% 1.47%
96% 1.985% 1.930% 1.90% 1.65% 1.47%
98% 1.985% 1.930% 1.92% 1.65% 1.47%
100% 1.985% 1.930% 1.93% 1.65% 1.47%
Table 3: Hull & White Calibration Results.
15
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