INVESTIGADORES
GUERCIO Maria Belen
congresos y reuniones científicas
Título:
Duration and convexity of a fixed income bond in a fuzzy environment
Autor/es:
A., FERNÁNDEZ; MARIA JOSÉ GARBAJOSA CABELLO; M. BELÉN GUERCIO; ANTONIO TERCEÑO
Lugar:
Lugo
Reunión:
Congreso; XV SIGEF Conference Economics and Financial Crisis: New Chalenges and Perspectives; 2009
Institución organizadora:
Facultad de Administración y Dirección de Empresas de la Universidad de Santiago de Compostela
Resumen:
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 bonds price, coupon and maturity. However, there are bonds, issued with distinctive characteristics, whose magnitudes are not crisp. This is the case of bonds with variable coupon or with indexed nominal value. The aim of this paper is to propose a measure to determine the duration and convexity of an inflation indexed bond. In order to do so, we will perform a numerical example for a selected bond of the fixed income financial market.
