State Values
Key State Values of function Calc Quantities in Gaussian 1d Modelrefers to a custom set of state values.
Note these are not the values of the modelled short rate.
The state variable referred here is the standardized normally distributed variable, i.e. with mean 0 and standard deviation 1.
It eventually maps to a respective short rate value on which the various payoffs depend.
The exact map depends on the gaussian model being used.
More specifically, each value here is interpreted as the number of standard deviations in the normal distribution that underlies the distribution of the short rate at the future time t when the reported quantities are observed.
For example, the value 2 would correspond to a short rate generated by a normal variable realizing the value 2*σ above its mean, where σ is the standard deviation of that normal variable as of time t.
Note that generally σ increases with t.