Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath–Jarrow–Morton framework for forward rates. We derive general consistency conditions for factor models, and discuss affine term structure models in particular. There are several open problems, and we outline possible directions for further research.

中文翻译：

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折扣款

折扣是债券面值与其现值之间的差额。我们提出了一个贴现模型的无套利动态框架，它为远期利率提供了 Heath-Jarrow-Morton 框架的替代方案。我们推导了因子模型的一般一致性条件，并特别讨论了仿射期限结构模型。有几个悬而未决的问题，我们概述了进一步研究的可能方向。