Affine term structure model: Difference between revisions

Revision as of 20:11, 22 December 2012

Revision as of 20:42, 26 December 2012

Line 1:

{{Multiple issues|{{expert-subject|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 ''inverting the yield curve'' – the process of determining spot rate model inputs from observable bond market data.