Pricer of Inflation-Indexed Swaps 1.0

Date Added: August 16, 2013 | Visits: 405

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Zero Coupon and Year on Year Indexed on the Inflation rate according to the Jarrow Yildirim model.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.

Requirements: No special requirements

Platforms: Matlab

Keyword: Asset, Instantaneously, Libor, Lognormal, Market, Mercurio, Method, Pricer

Users rating: 0/10

License: Shareware

Size: 10 KB

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