This article provides new developments in characterizing the class of regime-switching exponential affine interest rate processes in the context of pricing a zero-coupon bond. A finite-state Markov chain in continuous time dictates the random switching of time-dependent parameters of such processes. We present exact and approximate bond pricing formulas by solving a system of partial differential equations and minimizing an error functional. The bond price expression exhibits a representation that shows how it is explicitly impacted by the rate matrix and the time-dependent coefficient functions of the short rate models. We validate the bond pricing formulas numerically by examining a regime-switching Vasicek model.

中文翻译：

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马尔可夫调制仿射期限结构模型的债券定价公式

本文提供了在对零息债券定价的背景下表征制度转换指数仿射利率过程类别的新进展。连续时间的有限状态马尔可夫链决定了此类过程的时间相关参数的随机切换。我们通过求解偏微分方程组并最小化误差函数来提出精确和近似的债券定价公式。债券价格表达式展示了一种表示，表明它是如何受到利率矩阵和短期利率模型的时间相关系数函数的明确影响的。我们通过检查政权转换 Vasicek 模型以数值方式验证债券定价公式。