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Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term
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Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models Paperback / softback - 2014

by Federal Reserve Board

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  • Title Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
  • Author Federal Reserve Board
  • Binding Paperback
  • Condition New
  • Pages 36
  • Volumes 1
  • Language ENG
  • Publisher Createspace Independent Publishing Platform
  • Publication date 2014-11-14
  • Bookseller's Inventory # B9781503223738
  • ISBN 9781503223738 / 1503223736
  • Weight 0.24 lbs (0.11 kg)
  • Dimensions 11.02 x 8.5 x 0.07 in (27.99 x 21.59 x 0.18 cm)
  • Category Business / Economics / Finance
  • Quantity available 10

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From the publisher

This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a shadow-rate model as proposed by Black, 1995). The censoring ensures that model-implied yields are constrained to be positive, but it also introduces non-linearity that renders standard bond pricing formulas inapplicable. In particular, yields are not linear functions of the underlying state vector as they are in a ne term structure models (see Piazzesi, 2010). Existing approaches towards computing yields in shadow-rate models suffer from high computational burden or low accuracy. In contrast, I show that the technique proposed in this paper is sufficiently fast for single-step estimation of a three- factor shadow-rate term structure model, and sufficiently accurate to evaluate yields to within approximately half a basis point.

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