International Scholarly Research Notices

Research Article

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

Table 3

G1++ with piecewise constant volatility: the matrix of percentage error at 31/12/2011.
T/Tenor 1 2 5
7 10
1 0.4139 0.0907
0.3262 0.3795
0.4364
2
0.102
0.1352
0.0029
0.0242 0.06753
5 0.0769 0.02647 0.0064 0.0041 0.0036
7 0.0702 0.03631
0.0082
0.0096
0.0142
10
0.02967
0.02107 0.01227
0.00845
0.00757
15 0.01828 0.01273
0.0033
0.0071
0.0105
20
0.00632 0.00682 0.0269
0.0422
0.0741