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Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model

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Martino Grasselli
Claudio Tebaldi
Abstract

In this paper, we analyse the Affine Term Structure Model (ATSM) proposed by Balduzzi, Das, Foresi and Sundaram (BDFS, 1996) and provide the closed-form expression of the bond price. In addition, we extend the notion of Impulse Response Function to the class of ATSM. We show that it is closely related to the duration measure, and we compute it explicitly in the BDFS model. Copyright Banca Monte dei Paschi di Siena SpA, 2004

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Article provided by Banca Monte dei Paschi di Siena SpA in its journal Economic Notes.

Volume (Year): 33 (2004)
Issue (Month): 3 (November)
Pages: 359-374
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Handle: RePEc:bla:ecnote:v:33:y:2004:i:3:p:359-374

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