Hull White - Interest rate tree model

[ironman]

Hi everyone,

I am trying to use the hull white model to build the interest rate tree for evaluating the callable bond.
Unfortunately, i don't know how to set the below parameters:
- mean reversion rate (some set 0 for special case, some said between 0.001 and 0.1);
- threshold factor;
- Volatility;

Can everyone give me the guide to set the value to them and the rationales behind of setting them?

Thanks a lot.
Ironman

 

[ironman]

here is the model for your reference.
http://www.mngt.waikato.ac.nz/kurt/frontpage/modelmainpages/InterestRateModels.htm

but i still don't know how to set it~

Can anyone help me?

Thanks a lot~
Ironman

 

[Brad Warren]

You want calibrate the model to market bond prices, e.g. fitting the parameters to minimize the squared errors between the model output and the market yield curve.

 

[ironman]

I want to base on this interest rate tree to forecast the bond price.

do you know how to set them?