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09 February 2025
 
  » arxiv » 1508.0108

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Modelling the Uruguayan debt through gaussians models
Andrés Sosa ; Ernesto Mordecki ;
Date 1 Aug 2015
AbstractWe model bond’s price curves corresponding to the sovereign uruguayan debt nominated in USD, as an alternative to the official bond prices publication released by the Central Bank of Uruguay (CBU). Four different gaussian models are fitted, based on historical data issued by the CBU, corresponding to some of the more frequently traded bonds. The main difficulty we approach is the absence of liquidity in the bond market. Nevertheless the adjustment is relatively good, giving the possibility of non-arbitrage pricing of the whole family of non traded instruments, and also the possibility of pricing derivative securities.
Source arXiv, 1508.0108
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