Fairmat repository1.9
Version1.1.5
Version date14.02.2017
Requirements
Documentation View
Source
Buy now :
450,00 €
Add to your cart

Jarrow-Yildirim

License: Commercial
Author: Fairmat srl

This plug-in implements the Jarrow-Yildirim model which can be used to jointly model inflation and interest rates dynamics and then to price inflation indexed options. The model is formed by three components representing nominal rate, real rate and consumer price index.

Tags: Stochastic Process, Inflation models
Downloads: 216