INVESTIGADORES
GUERCIO Maria Belen
congresos y reuniones científicas
Título:
Duration and uncertainty. A comparative analysis for indexed bonds
Autor/es:
A., FERNÁNDEZ; MARIA JOSÉ GARBAJOSA CABELLO; M. BELÉN GUERCIO
Lugar:
Barcelona
Reunión:
Congreso; MS'10 International Conference; 2010
Institución organizadora:
University of Barcelona, Spain
Resumen:
<!-- /* Style Definitions */ p.MsoNormal, li.MsoNormal, div.MsoNormal {mso-style-name:"Normal\,NormalFER"; mso-style-parent:""; margin:0cm; margin-bottom:.0001pt; text-align:justify; mso-pagination:widow-orphan; font-size:10.0pt; mso-bidi-font-size:11.0pt; font-family:Arial; mso-fareast-font-family:"Times New Roman"; mso-bidi-font-family:"Times New Roman"; mso-fareast-language:EN-US;} @page Section1 {size:595.3pt 841.9pt; margin:70.85pt 3.0cm 70.85pt 3.0cm; mso-header-margin:35.4pt; mso-footer-margin:35.4pt; mso-paper-source:0;} div.Section1 {page:Section1;} --> 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 financial market for two countries