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 |
|
|