A Two-Factor Model of the Term Structure: An Approximate Analytical Solution
为类似Brennan和Schwartz的期限结构两状态变量模型提供了一个近似解析解，通过将变量重新定义为长期利率与短期利率之差（利差），利用两者正交的实证证据简化了定价方程。
This paper develops an approximate analytical solution to a two state-variable model of the term structure similar to the one proposed by Brennan and Schwartz. Unlike the BS model, which was based on the consol rate and the short rate of interest, our model is based on the consol rate and the spread (i.e., the difference) between the consol rate and the short rate. This change, merely a redefinition of variables, is made to exploit an assumption, for which there is substantial empirical evidence, that these two variables (the consol rate and the spread) are orthogonal. Employing orthogonal state variables provides the key simplification in providing an approximate solution to the fundamental valuation equation.