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Price Inflation Instruments

Create inflation instrument object, associate an inflation curve object, and specify pricing method

Inflation is an economic condition involving an increase in the general price level of goods and services over time. Inflation rate is defined as a percentage change in a reference index representing a basket of goods and services, such as the Consumer Price Index (CPI). Since inflation can significantly reduce the real value of an investment, many investors seek to hedge the inflation risk. Although there are several ways to protect against inflation, inflation derivatives such as inflation swaps provide some of the most effective hedges against inflation risk.

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

Create an inflation instrument object using fininstrument, then associate an inflation curve object using inflationcurve, and then specify a pricing method using finpricer.


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fininstrumentCreate specified instrument object type (Since R2020a)
finpricerCreate pricing method (Since R2020a)
inflationbuildBuild inflation curve from market zero-coupon inflation swap rates (Since R2021a)
indexvaluesCalculate index values for inflationcurve object (Since R2021a)
priceCompute price for inflation instrument with Inflation pricer (Since R2021a)
inflationCashflowsCompute cash flows for InflationBond instrument (Since R2021a)
inflationCashflowsCompute cash flows for YearYearInflationSwap instrument (Since R2021a)
inflationCashflowsCompute cash flows for ZeroCouponInflationSwap instrument (Since R2021a)


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inflationcurveCreate inflationcurve object for interest-rate curve from dates and data (Since R2021a)
InflationBondInflationBond instrument object (Since R2021a)
YearYearInflationSwapYearYearInflationSwap instrument object (Since R2021a)
YearYearInflationCapYearYearInflationCap instrument object (Since R2023b)
YearYearInflationFloorYearYearInflationFloor instrument object (Since R2023b)
ZeroCouponInflationCapZeroCouponInflationCap instrument object (Since R2023b)
ZeroCouponInflationFloorZeroCouponInflationFloor instrument object (Since R2023b)
ZeroCouponInflationSwapZeroCouponInflationSwap instrument object (Since R2021a)
JarrowYildirimCreate JarrowYildirim model object for YearYearInflationCap, YearYearInflationFloor, ZeroCouponInflationCap, ZeroCouponInflationFloor, YearYearInflationSwap, or ZeroCouponInflationSwap instrument (Since R2023b)
InflationCreate Inflation pricer object for InflationBond, YearYearInflationSwap, or ZeroCouponInflationSwap instrument using inflationcurve model (Since R2021a)
JarrowYildirimCreate JarrowYildirim pricer object for YearYearInflationCapYearYearInflationFloor, ZeroCouponInflationCap, ZeroCouponInflationFloor, YearYearInflationSwap, or ZeroCouponInflationSwap instrument using JarrowYildirim model (Since R2023b)