Chapter10 TermStructure Modela

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Chapter10 Term-Structure Modela

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10.1 Introduction
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10.2 Affine-Yield Models
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• For each of these types of models, there is a
  canonical model(a simplest way of writing the
  model)
• Two-factor model can be obtained from one of the
  three canonical models by changing variables.
• It is desirable when calibrating a model to first
  change the variables to put the model into a form
  having the minimum number of parameters
  otherwise, the calibration can be confounded by
  the fact that multiple sets of parameters yield
  the same result.

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10.2.1 Two-Factor Vasicek Model
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10.2.1 Two-Factor Vasicek Model
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Canonical Form
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Canonical Form
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