Bond pairs and the term structure
研究发现美国国债市场中存在到期日相同但票息不同的债券对，可直接从价格计算零息利率，且金融危机后债券对增多，能直接估计180个期限的零息利率，该方法在还原原始债券价格上优于流行的收益率曲线拟合模型。
Abstract In the US Treasury bond market, the existence of a bond pair (two bonds with the same maturity but different coupons) is shown to allow the computation of the zero‐coupon interest rate for that maturity directly from the bond prices, as well as the zero‐coupon interest rates for adjacent maturity bonds with the same number of coupon payments. Since the 2008–2009 financial crisis, the number of bond pairs has increased, allowing for the direct estimation from bond prices of the zero‐coupon interest rates for an average of 180 individual maturities for bond maturities between 6 months and 30 years. The bond pairs approach outperforms popular yield‐curve‐fitting models in accurately reproducing original bond prices.