UNA METODOLOGÍA PARA VALORAR UN CALLABLE BOND (A METHODOLOGY TO VALUE A CALLABLE BOND)
UNA METODOLOGÍA PARA VALORAR UN CALLABLE BOND (A METHODOLOGY TO VALUE A CALLABLE BOND)
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Copyright statement
The authors exclusively assign to the Universidad EIA, with the power to assign to third parties, all the exploitation rights that derive from the works that are accepted for publication in the Revista EIA, as well as in any product derived from it and, in in particular, those of reproduction, distribution, public communication (including interactive making available) and transformation (including adaptation, modification and, where appropriate, translation), for all types of exploitation (by way of example and not limitation : in paper, electronic, online, computer or audiovisual format, as well as in any other format, even for promotional or advertising purposes and / or for the production of derivative products), for a worldwide territorial scope and for the entire duration of the rights provided for in the current published text of the Intellectual Property Law. This assignment will be made by the authors without the right to any type of remuneration or compensation.
Consequently, the author may not publish or disseminate the works that are selected for publication in the Revista EIA, neither totally nor partially, nor authorize their publication to third parties, without the prior express authorization, requested and granted in writing, from the Univeridad EIA.
Show authors biography
En este artículo, la metodología empleada para valorar un bono que tiene una opción call incluida(callable bond o bono redimible) viene dada porla implementación numérica del modelo de tasa corta de Hull y White, la cualse logra con un árbol trinomial de tasas. Así mismo,se presenta una aplicación para el caso de lacompañía Interconexión Eléctrica S. A. –ISA–, que ha emitido dosinstrumentos callable bonds. Para el desarrollode tal aplicación se construyen algunos algoritmos computacionales, los cuales pueden valorarlos dos bonos conopción call que tiene dicha compañía y además permiten la estructuración de un bono con opción call incluidade tipo genérico.
Abstract: In this paperthe methodology employed for assessing a bond that includes a call option (callable bond) is given by the numeric implementation of Hull and White shortrate model, which it is accomplished through aninterest rates trinomial tree. It also presents an application for the case of the company Interconexión Eléctrica S.A.ISA–,which has issued two callable bonds instruments.For the development of such application computer algorithms are implemented to value the two bonds of the company, and they also allow the structuring of abond with a generic type call option included.
Article visits 344 | PDF visits 157
