Another Version of the Term to Maturity Variable

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

Chapter Chapter 8 in Yield Curves and Forward Curves for Diffusion Models of Short Rates, 2019, pp 127-140 from Springer

Abstract: Abstract In contrast toTerm to maturity the previous chapters, in analyzing the term structure of interest rates, it is suggested to treat the time variable not as a duration of a short-term interest rate (where the time variable depends on the parameters of the models in question, which makes it difficult to compare yields for the same real maturities), but as a nonlinear transformation of the time term, not dependent on model parameters, that allows us to map the whole of the time semi axis to a unit interval. The use of this approach is illustrated by analyzing the properties of the yield curveYield curve and the forward curveForward curve for one-, two- and three-factor interest rate models.

Keywords: Yield interest rates; Affine model; Term structure functions; One-; two- and three-factor models (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_8

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DOI: 10.1007/978-3-030-15500-1_8

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