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Valorización de bonos estructurados

Author

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  • Pinedo, Omar

    (Banco Central de Reserva del Perú)

Abstract

Se propone una metodología para la valorización de bonos estructurados que consiste en dos módulos principales: (1) construcción de curvas cupón cero para descontar los flujos de caja y (2) simulaciones para los flujos de caja de la opción implícita. Para (1) se aplica una metodología de B-Splines penalizados y para (2) se usa un Cuasi Monte Carlo que emplea una secuencia generalizada de Halton.

Suggested Citation

  • Pinedo, Omar, 2015. "Valorización de bonos estructurados," Working Papers 2015-016, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2015-016
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