PT - JOURNAL ARTICLE AU - Craig Merrill AU - Kabir Dutta TI - A Note on the Solution to a Three-Factor Affine Term Structure Model AID - 10.3905/jfi.1999.319223 DP - 1999 Dec 31 TA - The Journal of Fixed Income PG - 93--95 VI - 9 IP - 3 4099 - https://pm-research.com/content/9/3/93.short 4100 - https://pm-research.com/content/9/3/93.full AB - 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.