TY - JOUR T1 - A Note on the Solution to a Three-Factor Affine Term Structure Model JF - The Journal of Fixed Income SP - 93 LP - 95 DO - 10.3905/jfi.1999.319223 VL - 9 IS - 3 AU - Craig Merrill AU - Kabir Dutta Y1 - 1999/12/31 UR - https://pm-research.com/content/9/3/93.abstract N2 - Balduzzi, Das, Foresi, and Sundaram [1996] provide a nice framework for working with a very useful three-factor affine term structure model. In presenting the bond pricing model, they show that the solution to the valuation partial differential equation is equivalent to solving a system of ordinary differential equations. This system yields closed-form solutions for two to four functions of time in the bond price function. This note describes a correction to one of those closed-form solutions. The correction has a significant impact on prices and yields generated by the model. ER -