An Empirical Comparison of Single-Factor Consistent Models: Some Evidence from the Spanish Interest-Rate Cap Data

Abstract

Yield-curve models are broadly used by the industry for valuating fixed-income securities. These models reply term-structure of interest rates observed in the market accurately. In this work we make an empirical comparison among the main one-factor models used as management portfolio tools: the Hull-White model, the squared Gaussian model and a restricted version of Black-Karasinski model.