GSR_Model

This 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. PiterbargWeb 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 Functions