The classical approach in finance attempts to model the term. structure of
interest rates using specified stochastic processes and the no arbitrage ar
gument. Up to now, no universally accepted theory has been obtained for the
description of experimental data. We have chosen a more phenomenological a
pproach. It is based on results obtained some 20 years ago by physicists, r
esults which show that Pade Approximants are most suitable for approximatin
g large classes of functions in a very precise and coherent way. In this pa
per, we have chosen to compare the Pade 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 ra
ther simple functions of the lag and of the maturity and are directly relat
ed to the moments of the distributions. (C) 2001 Elsevier Science BY. All r
ights reserved.