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Gaussian_1d_Model_Functions


Function Calc Quantities within Gaussian 1d Model calculates certain stochastic (i.e. state dependent) quantities expected to be observed at some given future time t for a given set of values, which the standardized state variable underlying the referenced model is assumed to realize.
The user may enter an arbritrary set of standardized state variable values or use the one actually used by the referenced model.
The output is an object of type
Set with a maximum of 4 columns labeled as:
#State
#ZeroBond
#IborRate
#SwapRate

The #IborRate column is produced only if the entry for the optional input Ibor Rate is provided.
Similarly the #SwapRate column is produced only if the entry for the optional input Swap Rate is provided.