kappa_2 = 0.50, sigma_2 = 0.007, rho_12 = -0.7
| source | G2++ literature (Brigo-Mercurio) + GOES calibration |
| 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 |
Second factor enables curve-twist / steepening dynamics that one-factor models can't capture.