Comparative numerical analysis of temporal structure yield, depending on the dimension of the model
The paper presents the numerical analysis of the term structure of return interest rates in the affine model. Special attention is paid to the form of curves yield, to maturity and the forward curve of interest rates depending on the amount taken into account the model determinants of financial market. We consider one-, two-and three-factor model, based on the model of Cox - In-gersoll - Ross. It is shown that the dimension of the model affects the shape of the yield curves less than the numerical values of the factors themselves.
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Keywords
временная структура процентных ставок, стохастическое дифференциальное уравнение, кривая доходности, форвардные ставки, факторные модели, форвардная кривая, term structure of interest rates, the stochastic differential equation, the yield curve, forward rates, factor models, the forward curveAuthors
| Name | Organization | |
| Samal Tatiana V. | Belarus State University (Minsk) | solesytto@gmail.com |
References
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