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A Joint Model for the Term Structure of Interest Rates and the Macroeconomy
Hans Dewachter / Konstantijn Maes / Marco Lyrio
interest rates / term structure modelsResource overview

A Joint Model for the Term Structure of Interest Rates and the Macroeconomy

Paper2001

by Hans Dewachter, Konstantijn Maes, Marco Lyrio

Tags
interest ratesterm structure models

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Suggested foundations for rates and fixed income. Specialist prerequisites vary by paper.

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

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