  In this paper we are interested in term structure models for pricing zero
coupon bonds under rapidly oscillating stochastic volatility. We analyze
solutions to the generalized Cox-Ingersoll-Ross two factors model describing
clustering of interest rate volatilities. The main goal is to derive an
asymptotic expansion of the bond price with respect to a singular parameter
representing the fast scale for the stochastic volatility process. We derive
the second order asymptotic expansion of a solution to the two factors
generalized CIR model and we show that the first two terms in the expansion are
independent of the variable representing stochastic volatility.
