Go to Deriscope's documentation start page


GSR Model is a child type of Gaussian 1d Model that represents a one factor gaussian interest rate model whereby the short rate follows the Hull White model as implemented in the formula (10.14) of the book "Interest Rate Modeling. Volume 2: Term Structure Models" written by Leif B. G. Andersen and Vladimir V. Piterbarg
Web reference available
Both reversion and volatility are piecewise constant.
Calibration is possible through the function described below.
The formulation is in forward measure

The following
functions are also available within GSR Model:
GSR Model Functions