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Line 1: {{expert-subject\|1=Finance & Investment\|date=December 2012\|reason=Confirmation, details on the Affine Term Structure Model.}} An '''affine term structure model''' is a [[financial model]] that relates [[zero-coupon bond]] prices (i.e. the discount curve) to a [[spot rate]] model. It is particularly useful for ''deriving the [[yield curve]]'' – the process of determining spot rate model inputs from observable [[bond market]] data. The affine class of term structure models implies the convenient form that log bond prices are linear functions of the spot rate<ref>{{Cite journal\|last=Duffie\|first=Darrell\|last2=Kan\|first2=Rui\|date=1996\|title=A Yield-Factor Model of Interest Rates\|journal=Mathematical Finance\|language=en\|volume=6\|issue=4\|pages=379–406\|doi=10.1111/j.1467-9965.1996.tb00123.x\|issn=1467-9965}}</ref> (and potentially additional state variables).

Affine term structure model: Difference between revisions