Estructura temporal de tasas en colones (curva cero cupón) para Costa Rica: metodología y derivación de tasas a plazo y prima de riesgo cambiario

Abstract

The current document consolidates the fundamental theoretical definitions for constructing the Zero-Coupon Curve in colones for the Costa Rican economy. Initially, the theoretical foundations supporting the employed methodology are presented, and the modeling of the zero-coupon curve is established, specifically adjusted for Costa Rican secondary market transactions. This includes specifying the no-arbitrage conditions that must be followed during optimization to ensure that the resulting curve aligns coherently with the theory. Subsequently, the heuristic methods used in optimizing the parameters of Svensson and Nelson-Siegel curves with constraints are explained. Finally, indicators and associated curves are developed, such as Par Yield Curve, forward rates and exchange risk premium.