Multifactor models of term structure of yield for zero coupon bonds

Abstract

Properties of such characteristics of term structure of interest rates as yield curve and forward rates in a case when the affine model of yield is used are discussed. Unlike known approaches are analyzed not only one-factor, but also multifactor models. Be-sides, it is considered not only a range short terms and mean terms to maturity of as-sets, but also long terms. It is offered to use a duration riskless rates as a time variable. It gives the possibility to compare the yield and forward curves on all interval of change of terms to maturity of assets.