%0 Journal Article %A Craig Merrill %A Kabir Dutta %T A Note on the Solution to a Three-Factor Affine Term Structure Model %D 1999 %R 10.3905/jfi.1999.319223 %J The Journal of Fixed Income %P 93-95 %V 9 %N 3 %X 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. %U https://jfi.pm-research.com/content/iijfixinc/9/3/93.full.pdf