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