This paper presents a model in which investors form their expectations in an adaptive way to price bonds, in the spirit of Adam, Marcet and Nicolini (2011). We follow different assumptions regarding the learning process followed by agents. In the case of finite maturity bonds, the knowledge of the pricing of the first maturity will act as an “anchor", limiting the price volatility of bonds with short maturities. As the maturity increases, the price volatility converges to that of the consol bond. Our results suggests this learning mechanism can help the model capture some of the observed empirical dynamics of yield curve.