Markets - Uruguay - BEVSA - CUD

This dataset includes daily information on the Yield Spot Curve of Uruguayan Sovereign Securities issued in United States dollars. The methodology applied for the construction of the CUD curve is based on the method called “Constant Forward Spreads”. The curve shows the term structure of interest rates of Uruguayan sovereign debt issued in dollars United States. It allows generating reasonable valuations (fair-value), estimating volatilities and correlations for an adequate caliber of market interest rate risk, as well as serving as the basis for estimating the term structure of the credit spreads of this debt. Data is available since October 2003.