Hull-White Swaption Pricing: Calibration, Jamshidian Decomposition, and Trinomial Tree
Hull-White Swaption Pricing: Calibration, Jamshidian Decomposition, and Trinomial Tree: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Calibrate a one-factor Hull-White short-rate model to market caplet prices, then price European and Bermudan swaptions using…
The task
Calibrate a one-factor Hull-White short-rate model to market caplet prices, then price European and **Bermudan** swaptions using the Jamshidian decomposition (analytical for Europeans) and a trinomial tree. The Bermudan swaptions are co-terminal instruments exercisable at each semi-annual coupon date, priced via…
Part of codeslord/skilltrainbench-public.