a = 0.03 (default; exogenous caller input, UNCALIBRATED)
| source | Literature-typical default (Brigo-Mercurio ch.3); caller-supplied, not market-calibrated |
| derivation | expert_judgment |
| quality | estimated |
| evidence | documented_internal |
| regulatory frameworks | asop_56 |
| set | 2026-06-08 |
| next review due | 2026-12-31 |
Exogenous, uncalibrated input to the Hull-White 1F engine. Calibration target = market swaption-vol / cap-floor term-structure (DS-058, strike-grid IV is the structural paid-only DR-007 gap). Until calibrated, the engine's option outputs are scoped non-production (model_registry.yaml::M-132.production_scope); the bond/curve analytics are exact regardless of a.