Pricer of Inflation-Indexed Swaps

Version 1.0.0.0 (14.2 KB) by Julien Sautier
Zero Coupon and Year on Year Indexed on the Inflation rate according to the Jarrow Yildirim model.
5.0
(2)
488 Downloads
Updated 6 Apr 2012

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This Matlab program is inspired by Fabio Mercurio's work who gives the price of Swaps.

The pricer follows the first market model of Mercurio that is to say it uses the lognormal LIBOR model.

This method is useful for liquid derivative market.

You just have to set your market data to have instantaneously the price of your asset.

Cite As

Julien Sautier (2024). Pricer of Inflation-Indexed Swaps (https://www.mathworks.com/matlabcentral/fileexchange/36058-pricer-of-inflation-indexed-swaps), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Pricing Inflation Indexed Swaps/YYIIS/

Pricing Inflation Indexed Swaps/ZCIIS/

Version Published Release Notes
1.0.0.0