Print version ISSN 1794-1237
In this paper the methodology employed for assessing a bond that includes a call option (callable bond) is given by the numeric implementation of Hull and White short rate model, which it is accomplished through an interest rates trinomial tree. It also presents an application for the case of the company Interconexión Eléctrica S. A. -ISA-, which has issued two callable bonds instruments. For the development of such application computer algorithms are implemented to value the two bonds of the company, and they also allow the structuring of a bond with a generic type call option included.
Keywords : Hull and White short rate model; rate trinomial tree; financial derivative; callable bond.