GSR Model


GSR Model is a direct subtype of Gaussian 1d Model
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with functions GSR Model Functions, keys GSR Model keys and example object GSRmdl

TYPE INCLUSION RELATIONSHIPS

Gaussian 1d Model

GSR Model

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AVAILABLE FUNCTIONS

Calibrate

Create

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AVAILABLE CREATE FUNCTION KEYS

Calibration Method

Calibration Target

Disc Crv

Extra Constraint

Forc Crv

Fwd Measure Maturity

Initial Reversions

Initial Vols

Optimization

Parameter Constraints

Reversions

Step Dates

Swaption Model

Vols

Calibrated

Calibration Fit

Proc Time

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TYPICAL OBJECTS OF TYPE GSR Model

GSRmdl

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This type 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