Weekly and daily time-steps in the ESG
Document ID: 2010-2018
Published on: 23rd November 2010
Author: Gioel Calabrese
Weekly or daily time-steps are a desirable feature of economic scenario generators, particularly for simulations with short time horizons, such as 1yr. The B&H ESG up to version 7.0 does not immediately allow for such short time-steps. This technical note uses a simple example to clarify the need for smaller time-steps and derives transformations of variables/parameters that permit the current ESG implementation to run on weekly or daily time-steps. We describe the transformation for the 2 factor Vasicek, the Extended 2FBK and the SVJD models.
