International Scholarly Research Notices

Research Article

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

Table 4

G2++ with constant parameters: the matrix of percentage error at 31/12/2011.
T/Tenor125710
10.0010.10970.02070.071660.1703
20.1910.037810.024370.054090.129
50.70750.007070.0310.003360.04999
70.0102820.059590.07120.0337570.02974
100.081950.094050.069670.034180.02683
150.06060.062570.036580.000620.059657
200.025820.019960.005320.031790.06581