David Backus

Quantitative Models of Bond Pricing (with Foresi and Telmer)
(Notes for PhD students and other hardy souls. Work in progress.)

• Guide to postscript files. There are public-domain viewers ("ghostview") for postscript files, but I don't know the specifics. An old-fashioned way to print them: click on the file, choose Save As to copy to your hard drive, then print however you like (since I'm a dinosaur, I type this in DOS: copy file lpt1).
• Overview paper: Discrete-time models of bond pricing (Postscript) (with Foresi and Telmer) (August 1998)
• Notes
  • Chapter 1 (Postscript)
    (Notation and statistical properties of bond yields.)
  • Chapter 2 (Postscript)
    (Quantitative analysis of one-factor models, including Vasicek, long-memory, Cox-Ingersoll-Ross, Pearson-Sun, lognormal and generalized gamma, and "jump" models.)
• Matlab Programs
  • Chapter 1
  • Chapter 2
  • Data: monthly spot rates (continuously-compounded zero-coupon yields) and forward rates from the McCulloch-Kwon dataset.
    (Both files are undocumented arrays. Rows correspond to dates between January 1952 and February 1991. Columns correspond to these 22 maturities: 0-12 months and 2-10 years. They are used in the Matlab programs for Chapters 1 and 2.)
• Data
  • McCulloch-Kwon dataset (binary "zipped" file, 487k)
    This dataset was kindly provided by Huston McCulloch at Ohio State and is described in J. H. McCulloch and Heon-Chul Kwon, "US term structure data," manuscript and computer diskettes, Department of Economics, Ohio State University, March 1993. It includes monthly estimates of spot and forward rates for maturities between 1 month and 30 years and dates between 1947 and 1991. A subset is included below with the Matlab programs. Please acknowledge their work if you use the data.