RT Journal Article SR Electronic T1 A Note on the Solution to a Three-Factor Affine Term Structure Model JF The Journal of Fixed Income FD Institutional Investor Journals SP 93 OP 95 DO 10.3905/jfi.1999.319223 VO 9 IS 3 A1 Craig Merrill A1 Kabir Dutta YR 1999 UL https://pm-research.com/content/9/3/93.abstract 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.