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Marcocapelle (talk | contribs) removed Category:Stochastic processes; added Category:Stochastic models using HotCat |
m I have made clear what is the relation between bond price and spot rate in the "Background" section of affine term structure model |
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{{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 ''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 (and potentially additional state variables).
== Background ==
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