Income And Risk Treatment On Fixed Bonds From Fuzziness Point Of View

Abstract

The interest rate foresight in a long term temporal horizon has always been a difficult task since its evolution depends on a great number of factors and reasons of macroeconomic disposition which valuation carries jointly a high degree of subjectivity. In the present paper we propose the fitness of techniques of expert’s opinions aggregation as the convenient method to give consistent valuations according to a variety of expectations. The aim of this work is to attain the intrinsic value and modified durability as a measure of risk of a fixed bond that incorporates a constant periodical coupon and is to be recovered at its maturity in a temporal horizon of three years. The attainment of both values will give us a better instrument to determine overvaluation or infravaluations in the market. To this aim, we will use the technique of expertizing, utilizing, concretely, a mR+ experton by means of real numbers triplets of the interval (0,1) from the rates to be used for the calculation of the theoretical price. The theoretical value obtained will be an approximation of a triangular fuzzy number, the same as the modified durability calculated through the income up to its maturity by means of the maximum presumption theoretical value of the bond.