Malefane Molibeli

This version is not peer-reviewed. Submitted: 03 November 2025 You are already at the latest version We present a unified framework for modeling the term structure of interest rates using both the affine term structure models (ATSM) with jumps and regime-switches. The novelty lies in combining affine jump diffusion models with regime-switching dynamics within a unified framework, allowing for state-dependent jump behavior while preserving analytical tractability.

1. Introduction The yield curve continues to be a useful tool for financial market participants as a guide to levels of interest rates and their economic expectations. Synonymously, it is referred to as the term structure of interest rates, a representation of the yields plotted against a cross-section of unexpired maturities. Bonds and yields are used as a relative pricing benchmark for other financial instruments.