Research Article
A General Gaussian Interest Rate Model Consistent with the Current Term Structure
Table 2
ATM swaptions volatility at 31/12/2011.
| | T/Tenor | 1 | 2 | 5
| 7 | 10
|
| | 1 | 59.6 | 49 | 43.9 | 40.5
| 39.2
| | 2 | 59.4 | 46.7 | 38.8 | 36.5 | 35.2
| | 5 | 34.5 | 31.4 | 29.3 | 28.5
| 28.1
| | 7 | 29.4 | 27.9 | 26.1 | 25.9
| 26.6
| | 10 | 24.7
| 24.3 | 24.3 | 25 | 26.5
| 15
| 25.8 | 26.4 | 28
| 29 | 30.5
| 20
| 31.6 | 32.1
| 33.1
| 33.8
| 34
|
|
|
