Which Wu? Too many Wus. Tao Wu, Cynthia Wu, Liuren Wu, Lixin Wu. All of them work with term structure models in one way or other. When did you look at this? Recently? Your experience is very meaningful, no doubt, but I think you are making a bit of blanket statement here. I know at least partially your way of looking at the market and some of the tools you use are pretty damn closely related to term structure models. So maybe you are implying that you find term structure models only marginally more useful than the toolset you use daily. It really depends. If you have competent people to research and implement such models and if you like to look at the market through such models, it's probably OK. I just don't think that this is everybody's cup of tea, and I have definitely met people who like a more formal approach and use it successfully.AAD, I don't know if it is the wrong track. Asset pricing theory, deflators, stochastic discount factors are just econometric terms for thesame problem discussed here. Possibly such theories can work in a stationary market regime, but I am having a hard time thinking that regime changes can be meaningfully predicted by such models and wonder if it is even worth trying in a trading environment.

I meant Tao Wu and yes, it was relatively recently that we looked at it.You could very well be correct. I am only describing my particular experiences.