Gaussian 1D Models

Posted by cheng li on May 23, 2014; 2:48am
URL: http://quantlib.414.s1.nabble.com/Gaussian-1D-Models-tp15307.html

Hi Pcaspers and teams,

 

Recently you add a new example called Gaussian1dModels in quantlib/examples. Really appreciate your kind effort to share your expertise on this topic. Currently I am learning from your example and try to understand more…

 

Some questions that I need your help…

 

1.       Would you like to share with me the reference literature about Gaussian 1D models? I have the 3 volume books written by Anderson and Piterbarg. There are topics on Short rate models and quasi-Gaussan models in volume 2. Which is the most relevant to your codes?

 

2.       As I saw you wirte one line in your example: “The model is a one factor Hull White model with piecewise volatility”. So can I know what is the essential difference between Gaussian 1D models and existing short rate models which are located under folder models/shortrates? Is this a new numerical scheme?

 

Really expecting to hear from you.

 

Regards,

Cheng

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