Pelsser Squared Gaussian Model Implements the one-factor squared Gaussian model into Fairmat.
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interest rate short Fairmat plug-in short rate interest rates

Pelsser Squared Gaussian Model Description

Implements the one-factor squared Gaussian model into Fairmat. Pelsser Squared Gaussian Model is a great Fairmat plug-in that 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. Requirements: · Fairmat Academic 1.0

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