Linear‐Rational Term Structure Models
提出线性-理性期限结构模型，使债券价格成为因子的线性-理性函数，确保非负利率、容纳未跨度因子，并给出互换期权的半解析解，对1997年以来的利率互换和互换期权拟合良好。
ABSTRACT We introduce the class of linear‐rational term structure models in which the state price density is modeled such that bond prices become linear‐rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures nonnegative interest rates, (ii) easily accommodates unspanned factors affecting volatility and risk premiums, and (iii) admits semi‐analytical solutions to swaptions. A parsimonious model specification within the linear‐rational class has a very good fit to both interest rate swaps and swaptions since 1997 and captures many features of term structure, volatility, and risk premium dynamics—including when interest rates are close to the zero lower bound.