Uso de la Aproximación TIR/Duración en la Estructura de Tasas: Resultados Cuantitativos Bajo Nelson - Siegel
In this paper we measure the error of estimating the term structure by the YTM/Duration approximation. The figures are based on the fact that model of term structure proposed by Nelson and Siegel (1987) is valid, and bonds are bullets. For the case of Chile we found that the approximation implies about 5-6 basis points, which are smaller than the one implied by using the maturity of the bond.
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- Gonzalo Cortazar & Eduardo S. Schwartz & Lorenzo F. Naranjo, 2007. "Term-structure estimation in markets with infrequent trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 353-369.
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