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Linear bonds valuation with interest rate models : does it work?

Author

Listed:
  • Rudy DE WINNE

    (Facultés Universitaires Catholiques de Mons (FUCaM))

Abstract

This paper compares the implications of different interest rate models for valuing the so-called OLOs (Belgian coupons bonds). The prices of these bonds implied by some well-known one-factor models are compared to the actual prices observed on the market. Our finding suggest that these interest rate models are unsatisfactory, especially in valuing longer term bonds.

Suggested Citation

  • Rudy DE WINNE, 1998. "Linear bonds valuation with interest rate models : does it work?," Discussion Papers (REL - Recherches Economiques de Louvain) 1998024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    • Handle: RePEc:ctl:louvre:1998024
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    File URL: http://sites.uclouvain.be/econ/DP/REL/1998024.pdf
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    More about this item

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G1 - Financial Economics - - General Financial Markets

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