  Fixed income markets share many features with the equity markets. However
there are significant differences as well and many attempts have been done in
the past to develop specific tools which describe (and possibly forecasts) the
behavior of such markets.
  For instance, a correct pricing of fixed income securities with fixed cache
flows requires the knowledge of the {\it term structure} of interest rates. A
number of techniques have been proposed for estimating and interpreting the
term structure, yet solid theoretical foundations and a comparative assessment
of the results produced by these techniques are not available.
  In this paper we define the fundamental concepts with a mathematical
terminology. Besides that, we report about an extensive set of experiments
whose scope is to point out the strong and weak points of the most widely used
approaches in this field.
