Phenomenology of the term structure of interest rates with Padé Approximants

The classical approach in finance attempts to model the term structure of interest rates using specified stochastic processes and the no arbitrage argument. Up to now, no universally accepted theory has been obtained for the description of experimental data. We have chosen a more phenomenological approach. It is based on results obtained some 20 years ago by physicists, results which show that Padé Approximants are most suitable for approximating large classes of functions in a very precise and coherent way. In this paper, we have chosen to compare the Padé Approximants with very low indices with the experimental densities of interest rates variations. We have shown that the data published by the Federal Reserve System in the United States are very well reproduced with two parameters only. These parameters are rather simple functions of the lag and of the maturity and are directly related to the moments of the distributions.