UN MÉTODO EFICIENTE PARA LA SIMULACIÓN DE CURVAS DE TASAS DE INTERÉS

Abstract

In this paper, the authors present a methodology for efficiently simulating interest rate termstructure curves, with a minimum number of parameters. This is possible by taking advantage of Nelson and Siegel's model, which can reproduce the multiplicity of shapes commonly observed in historical data, using just four parameters. Thus, the process only requires the generation of random samples of four parameters to generate interest rate term-structure scenarios, and the nodes in the curve that are of particular interest are obtained by direct substitution into the Nelson-Siegel equation (1987). The paper shows how to simulate interest rate term-structure curves that behave in the same way as historically observed term-structure curves. The process requires series of parameters for Nelson-Siegel curves fitted to historical data, and their joint empirical probability distribution, which is then used to generate random series of parameters and the corresponding Nelson-Siegel curves.