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Another Version of the Term to Maturity Variable

In: Yield Curves and Forward Curves for Diffusion Models of Short Rates

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  • Gennady A. Medvedev

    (Belarusian State University)

Abstract

In contrast toTerm to maturity the previous chapters, in analyzing the term structure of interest rates, it is suggested to treat the time variable not as a duration of a short-term interest rate (where the time variable depends on the parameters of the models in question, which makes it difficult to compare yields for the same real maturities), but as a nonlinear transformation of the time term, not dependent on model parameters, that allows us to map the whole of the time semi axis to a unit interval. The use of this approach is illustrated by analyzing the properties of the yield curveYield curve and the forward curveForward curve for one-, two- and three-factor interest rate models.

Suggested Citation

  • Gennady A. Medvedev, 2019. "Another Version of the Term to Maturity Variable," Springer Books, in: Yield Curves and Forward Curves for Diffusion Models of Short Rates, chapter 0, pages 127-140, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-15500-1_8
    DOI: 10.1007/978-3-030-15500-1_8
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