Fairmat repository1.9
Version date23.11.2018
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Pelsser squared gaussian model

License: Free
Author: Fairmat srl

This plug-in implements the one-factor squared Gaussian model. This model assumes that the spot interest rate is a quadratic function of the underlying process, and it provides the advantage that the interest rates never become negative. The squared Gaussian is a no-arbitrage model, so it can be fitted to the initial term-structure of interest rates.The plug-in allows the user to use this model for simulation and to calibrate it to cap prices.

Tags: stochastic process, short rate, interest rates, calibration
Downloads: 1864