PT  - JOURNAL ARTICLE
AU  - Alexander. Levin
TI  - Interest Rate Model Selection
AID  - 10.3905/jpm.2004.319932
DP  - 2004 Jan 31
TA  - The Journal of Portfolio Management
PG  - 74--86
VI  - 30
IP  - 2
4099  - https://pm-research.com/content/30/2/74.short
4100  - https://pm-research.com/content/30/2/74.full
AB  - Analysis of the most popular single-factor mortgage valuation models unambiguously rejects the lognormality of interest rates. Recent trends in the swaption market indicate normalization, supporting use of the Hull-White model, which can be quickly and accurately calibrated to at-the-money swaptions. Durations for TBA instruments come up shorter by the Hull-White model and are generally more in line with the empirical measures. The issue of negative rates is not found to be detrimental to the standard OAS pricing practice.