Pelsser Squared Gaussian ModelImplements the one-factor squared Gaussian model into Fairmat. | |
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Pelsser Squared Gaussian Model Ranking & Summary
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- License:
- Freeware
- Price:
- FREE
- Publisher Name:
- Fermat Consulting SRL
- Publisher web site:
- http://www.fairmat.com/home/
- Operating Systems:
- Mac OS X 10.0 or later
- File Size:
- 8 KB
Pelsser Squared Gaussian Model Tags
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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