Gaussian_1d_Model

Be aware of a major shortcoming of all such models with regard to their ability to price products that depend heavily on the difference of two rates, such as a Float Float Swaption with two different indices.

Due to the perfect correlation between all possible interest rates, a product paying the difference of two rates would appear to be almost insensitive to volatility changes.

Thus zero option prices could be produced even when the input volatility were set to very high values.

The following functions are also available within

Gaussian 1d Model Functions