The Term Structure of Interest Rates

Gennady A. Medvedev ()
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Gennady A. Medvedev: Belarusian State University

Chapter Chapter 2 in Yield Curves and Forward Curves for Diffusion Models of Short Rates, 2019, pp 19-26 from Springer

Abstract: Abstract The properties of such characteristics of the term structure of interest rates as yield curvesYield curve and forward curvesForward curve are investigated in the case when an affine model of yield is used. Unlike the known approaches, not only single-factor, but also multifactor modelsMultifactor model are analyzed. In addition, not only short and medium term maturities of assets are considered, but also long terms. At the same time, it is suggested to use the duration of the risk-free rate as a temporary variable. This makes it possible to compare yield curves and forward curves over the entire range of changes in the maturities of assets.

Keywords: Yield interest rates; Affine model; Yield curve; Forward curve (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-15500-1_2

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DOI: 10.1007/978-3-030-15500-1_2

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