Published June 20, 2022
| Version v1
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LGM Calibration Analytics
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Description
The Gaussian HJM interest rate (IR) term structure model, also called the Linear Gaussian Model (LGM), is used to pricing some IR structured products. To keep it being consistent with the IR option market, the model needs to be calibrated to the IR European swaption market.
Notes
https://osf.io/umeq3/download
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lgmCalibration.pdf
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(87.6 kB)
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