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From: philippe h. <pha...@ma...> - 2020-10-25 11:45:18
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Is there any information about how the Jamshidian engine does the drift adjustment to match the initial curve for the Hull White model? If I want to use the QL HW Process in a MC model, I assume II have to do the drift adjustment myself, or is there existing QL functionality to do that? Regards Philippe Hatstadt +1-203-252-0408 https://www.linkedin.com/in/philippe-hatstadt |