Real-world interest rate calibration: Distributional targets at end-September 2009
Document ID: 2009-1538 (previously 2009/06)
Published on: 11th September 2009
Author: Ruosha Li, Zhuoshi Liu & Steffen Sorensen
In this note we update our targets for the limiting nominal forward rate for government bonds and swaps. We also update our unconditional target for the volatility term structure of interest rates and the speed of mean reversion of the nominal short rate. We usually update these targets in Q3 each year.
