This paper describes three methods to calibrate Gaussian two factor model (G2PP, G2++) using constant mean reversions, volatilities and correlation. We suggest an efficient approximation of swaption normal volatility to estimate the mean reversions independent of volatility parameters. We test that our procedure to estimate mean reversion is superior to calibration method for all parameter at once in terms of stability. It also shows that calibrated parameters are stable regardless of changes in the market. We apply this methodology to the won and dollar markets.

Keywords: Calibration; Gaussian 2 factor model; Model Parameter; Swaption Approximation; Volatility Ratio Method