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The discrete-time multifactor Vasi\v{c}ek model is a tractable Gaussian spotrate model. Typically, two- or three-factor versions allow one to capture thedependence structure between yields with different times to maturity in anappropriate way. In practice, re-calibration of the model to the prevailingmarket conditions leads to model parameters that change over time. Therefore,the model parameters should be understood as being time-dependent or evenstochastic. Following the consistent re-calibration (CRC) approach, weconstruct models as concatenations of yield curve increments of Hull-Whiteextended multifactor Vasi\v{c}ek models with different parameters. The CRCapproach provides attractive tractable models that preserve the no-arbitragepremise. As a numerical example, we fit Swiss interest rates using CRCmultifactor Vasi\v{c}ek models.

Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model