Research Article
A General Gaussian Interest Rate Model Consistent with the Current Term Structure
Table 5
G2++ with piecewise constant volatility: the matrix of percentage error at 31/12/2011.
| T/Tenor | 1 | 2 | 5
| 7 | 10
|
| 1 | 0.04 | 0.0067 | 0.0105 | 0.04805 | 0.04482 | 2 | 0.0165 | 0.08404 | 0.1279 | 0.03514 | 0.03316 | 5 | 0.05272 | 0.05583 | 0.04804 | 0.01913 | 0.00367 | 7 | 0.0125 | 0.0032 | 0.0073 | 0.0153 | 0.01216 | 10 | 0.0868 | 0.0543 | 0.025 | 0.0235 | 0.0083 | 15 | 0.0694 | 0.0358 | 0.00169
| 0.0109 | 0.0367
| 20
| 0.0276 | 0.01
| 0.0448
| 0.051 | 0.0559
|
|
|