Long-Term Yield in an Affine HJM Framework on $S_d^+$

edeveloptheHJMframeworkforforwardratesdrivenbyaffineprocesses on the state space of symmetric positive semidefinite matrices. In this setting we find an explicit representation for the long-term yield in terms of the model parameters. This generalises the results of El Karoui et al. (Rev Deriv Res 1(4):351–369, 1997) and Biagini and Härtel (Int J Theor Appl Financ 17(3):1–24, 2012), where the long-term yield is investigated under no-arbitrage assumptions in a HJM setting using Brownian motions and Lévy processes respectively.