Linear bonds valuation with interest rate models: does it work?

Rudy De Winne

No 1998024, Discussion Papers (REL - Recherches Economiques de Louvain) from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: This paper compares the implications of different interest rate models for valuing the so-called OLOs (Belgian coupons bonds). The prices of these bonds implied by some well-known one-factor models are compared to the actual prices observed on the market. Our finding suggest that these interest rate models are unsatisfactory, especially in valuing longer term bonds.

JEL-codes: E4 G1 (search for similar items in EconPapers)
Pages: 12
Date: 1998-06-01
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvre:1998024

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