GSR Model


GSR Model is a
direct subtype of Gaussian 1d Model with functions GSR Model Functions, keys GSR Model keys and example object GSRmdl 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
here
Both reversion and volatility are piecewise constant.
Calibration is possible through the function described below.
The formulation is in forward measure