2-factors model HJM

Hi to all, I ask you an urgent help to solve my problem. I must implement the 2-factors Heat-Jarrow-Morton algorithm to calculate the VaR of a portfolio, I must use Matlab, but I have some problems. First, someone can explain to me how I can calculate the parameters sigma1, sigma2 and lambda of the model? Done this, how can I simulate the prices with Montecarlo method?
I ask you an urgent help, I'm in crisis.
Thank you in advanced.
Sophie.

Answers (0)

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on 27 Sep 2013

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