References for QuantLib's Gaussian Short-Rate Model

Summary

The document answers a request for an explanation or specification of the Gaussian short-rate model implemented in QuantLib. It points readers to a standard interest-rate modeling text for the model's broader treatment and to a technical paper for derivations of the formulas used in the implementation.

The response is primarily a pointer to source material rather than a self-contained description: it does not explain the model's equations, assumptions, calibration, or implementation details. Its practical value is identifying where a reader can investigate the model and the code's mathematical basis. The document therefore offers a starting point for studying interest-rate modeling, but readers need to consult the referenced materials to understand the model itself.

Key ideas

• The QuantLib implementation is associated with the Gaussian short-rate model.
• A standard interest-rate modeling text provides a broader treatment of the model.
• A technical paper is cited for derivations of formulas used in the implementation.
• The response gives references but does not explain model assumptions or equations.

Tags

# QuantLib Gsr model


# QuantLib Gsr model












Almost spent the whole day. Could anyone give a link to the Gsr model specification that is implemented in QuantLib? Or give an explanation? Any help is highly appreciated.

## Answer by Peter Caspers (score 6, accepted)

https://quant.stackexchange.com/a/33088

the model is described in Andersen, Piterbarg: Interest Rate Modeling. The formulas that are acutally implemented are derived here

https://ssrn.com/abstract=2246013

Best Peter

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