sigma_r = 0.012-0.018 (annualized, normal Hull-White)
| source | GOES calibration to historical UST volatility |
| derivation | data_calibrated |
| quality | calibrated |
| regulatory frameworks | NAIC VM-20 |
| set | 2026-05-25 |
| last reviewed | 2026-05-25 |
| next review due | 2026-12-31 |
Calibrated to ATM cap/floor volatilities; pure-Bachelier convention given negative-rate regime support.