Bond returns, discrete stochastic processes, and duration

A particular duration measure may correspond to many different stochastic processes that generate fluctuations in the term structure of interest rates. There does not exist a one‐to‐one correspondence between the duration measure and an underlying stochastic process. In particular, durations derived from disequilibrium processes also correspond to equilibrium processes. Furthermore, it is shown that multi‐factor discrete models of bond returns may also correspond to multi‐duration models of bond returns.