Estimación de la estructura a plazos para un título de renta fija del tesoro colombiano por el método unifactorial de Vasicek
Here we present and implement the evolution model of Vasicek interest rates to estimate the term structure of Colombian sovereign title (TES maturing in 2020). To do some computations are performed econometric, through which it is found that the temporal structure of the yields for the chosen instru...
| Autor Principal: | Herrera Cardona, Luis Guillermo |
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| Otros Autores: | Cárdenas Giraldo, Darwin, Salcedo García, Juan Pablo |
| Formato: | info:eu-repo/semantics/article |
| Idioma: | spa |
| Publicado: |
Universidad de San Buenaventura - Cali
2017
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| Materias: | |
| Acceso en línea: |
0123-5834 |
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| Sumario: |
Here we present and implement the evolution model of Vasicek interest rates to estimate the term structure of Colombian sovereign title (TES maturing in 2020). To do some computations are performed econometric, through which it is found that the temporal structure of the yields for the chosen instrument exhibits a negative slope (decreasing) due to the result of the parameters. Thus, the application will serve to advance the issue of modeling interest rates and stochastic nature in Colombia, also will serve as input to value options on fixed income securities and make coverage of interest rate, in turn, be a stimulus for the introduction and consolidation of such financial products. |
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