Elliott, R.Mamon, R.2007-08-032007-08-032002Quantitative Finance, 2002; 2(6):454-4581469-76881469-7696http://hdl.handle.net/2440/36652© 2002 IOP Publishing LtdA two-factor Vasicek model, where the mean reversion level changes according to a continuous time finite state Markov chain, is considered. This model could capture the behaviour of monetary authorities who normally set a reference rate which changes from time to time. We derive the term structure via the analytic expression of the bond price that involves a fundamental matrix. The validity of the bond price closed form solution is verified via the forward rate dynamics.enJournal article002006558610.1080/14697688.2002.000001249674