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/Tenor1 2 5
7 10

1 0.04 0.0067 0.0105 0.048050.04482
2 0.01650.08404 0.12790.035140.03316
5 0.05272 0.05583 0.04804 0.01913 0.00367
7 0.0125 0.0032 0.00730.01530.01216
10 0.08680.05430.0250.02350.0083
15 0.0694 0.0358 0.00169
0.0109 0.0367
20
0.0276 0.01
0.0448
0.051 0.0559