Comments (2)
hi, jojogh
I think your question is about the calculation of SpotRates (9M, 1Y, 2Y, 3Y) using the short rate.
it's formula -> T-maturity discount bond
to add SpotRate associated hw1f model,
define calcs for 9m, 1y, 2y, 3y
hw1f_spot9m = hw1f.spot('hw1f_spot9m', maturityTenor=mx.Period(9, mx.Months), compounding=mx.Continuous)
hw1f_spot1y = hw1f.spot('hw1f_spot1y', maturityTenor=mx.Period(1, mx.Years), compounding=mx.Continuous)
hw1f_spot2y = hw1f.spot('hw1f_spot2y', maturityTenor=mx.Period(2, mx.Years), compounding=mx.Continuous)
hw1f_spot3y = hw1f.spot('hw1f_spot3y', maturityTenor=mx.Period(3, mx.Years), compounding=mx.Continuous)
calcs = [hw1f_spot9m, hw1f_spot1y, hw1f_spot2y, hw1f_spot3y]
update generation code ( add calcs to parameter )
results2 = xen.generate(models=models, calcs=calcs, corr=corrMatrix, timegrid=timegrid1,
rsg=sobol_rsg, filename=filename2, isMomentMatching=False)
I hope my answer is helpful.
thanks.
from mxdevtool-python.
Many thanks!!!
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