sigma = 0.01 (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 short-rate vol for the Hull-White 1F engine. Same DS-058 paid-only calibration gap as A-284. Option premiums are monotone increasing in sigma (test_vol_monotonicity); at sigma->0 the model collapses to discounted intrinsic (test_zero_vol_intrinsic).