Nota técnica duración modificada en caso de TIR efectiva

Nota técnica duración modificada en caso de TIR efectiva

The objective of this technical note is to clarify how Macaulay’s duration should be modified when the internal rates of return (IRR) on fixed income financial assets are expressed in terms of an effective annual rate. In Chile the usual market practice is to utilize effective IRR, and it leads to...

Full description

Bibliographic Details
Main Author: Jaime Valenzuela O.
Format: Article
Language:English
Published: Universidad de Chile 2007-02-01
Series:Estudios de Administración
Online Access:https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56419
id doaj-4dfec526097e459d88e71fc4b23c6dde
record_format Article
spelling doaj-4dfec526097e459d88e71fc4b23c6dde2020-11-25T02:51:51ZengUniversidad de ChileEstudios de Administración0717-06530719-08162007-02-01141718010.5354/0719-0816.2007.5641956419Nota técnica duración modificada en caso de TIR efectivaJaime Valenzuela O.The objective of this technical note is to clarify how Macaulay’s duration should be modified when the internal rates of return (IRR) on fixed income financial assets are expressed in terms of an effective annual rate. In Chile the usual market practice is to utilize effective IRR, and it leads to an error when modifying Macaulay’s duration using the usual textbook formula (simple TIR). This technical note demonstrates mathematically the correct formula to modify duration for the case of effective IRR.https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56419
collection DOAJ
language English
format Article
sources DOAJ
author Jaime Valenzuela O.
spellingShingle Jaime Valenzuela O.
Nota técnica duración modificada en caso de TIR efectiva
Estudios de Administración
author_facet Jaime Valenzuela O.
author_sort Jaime Valenzuela O.
title Nota técnica duración modificada en caso de TIR efectiva
title_short Nota técnica duración modificada en caso de TIR efectiva
title_full Nota técnica duración modificada en caso de TIR efectiva
title_fullStr Nota técnica duración modificada en caso de TIR efectiva
title_full_unstemmed Nota técnica duración modificada en caso de TIR efectiva
title_sort nota técnica duración modificada en caso de tir efectiva
publisher Universidad de Chile
series Estudios de Administración
issn 0717-0653
0719-0816
publishDate 2007-02-01
description The objective of this technical note is to clarify how Macaulay’s duration should be modified when the internal rates of return (IRR) on fixed income financial assets are expressed in terms of an effective annual rate. In Chile the usual market practice is to utilize effective IRR, and it leads to an error when modifying Macaulay’s duration using the usual textbook formula (simple TIR). This technical note demonstrates mathematically the correct formula to modify duration for the case of effective IRR.
url https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56419
work_keys_str_mv AT jaimevalenzuelao notatecnicaduracionmodificadaencasodetirefectiva
_version_ 1724732997957058560

Similar Items