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I'm looking into the quasi-Gaussian model with linear local volatility as explained by Andersen and Piterbarg (Interest Rate Modeling, Volume 2). I'm trying to calibrate this model and implement it. I wonder if any of you knows where I can get a C++ or Matlab code for such model.

Many thanks

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  • $\begingroup$ or in c#, it could be interesting too. $\endgroup$ – MJ73550 Jul 15 '16 at 9:48

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