International Scholarly Research Notices

Research Article

A General Gaussian Interest Rate Model Consistent with the Current Term Structure

Table 1

ATM swaptions volatility at 31/12/2006.
T/Tenor 1 2 5
7 10
1 13.45 13.8 14.5 14.35 13.9
2 14.4 14.75 14.8 14.5 14.1
5 14.7 14.7 14.25 13.9
13.55
7 14.05 14
13.55 13.3 13.1
10 12.95 13 12.8
12.6 12.45
15 12
11.95 12 11.9 11.85
20 11.45 11.5 11.65 11.6
11.65