Duration and uncertainty: A comparative analysis for indexed bonds

A., FERNÁNDEZ; MARIA JOSÉ GARBAJOSA CABELLO; M. BELÉN GUERCIO

INTERNATIONAL JOURNAL OF COMPUTATIONAL INTELLIGENCE SYSTEMS

ATLANTIS PRESS

Año: 2012 p. 1 - 2

1875-6883

The duration of a bond is a weighted average of the cash flows generated by the bond, where the weights are the proportion that each flow represents within the total value of the bond. Classical duration is computed considering crisp variables such as bond’s price, coupon and maturity. However, there are bonds, issued with distinctive characteristics, whose magnitudes are not crisp. The aim of this paper is to determine the duration of this kind of bonds. In order to do so, we will perform a numerical example for selected bonds of the fixed income financialmarket for two countries.