Yield Curves in Two-Factor Vasiiek Models

Abstract

The paper studies the properties of curves of yield to maturity and forward rates curves for multifactorial and three concrete two-factor Vasicek models with two state variables: • The short-term rate and its average local-in-time value; • The short-term rate and its exponentially smoothed average value; • The Shiu – Yao model. Their comparison is given and a numerical example based on the analysis of real data is given.