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Gaussian_1d_ModelGaussian 1d Model is a Type that represents various types of one factor gaussian short rate models.
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:
Gaussian 1d Model Functions