Tag Info

Turns out there are many methods which people use to adjust futures time series. The method employed depends on the use. There's a real nice paper here that synthesizes each of the methods. Turns out the method Matt Wolf described will likely work the best.

Name-Value pair option 'LegReset' [n n] where n is the frequency

I don't know what is supported by MatLab (I use Java to do such stuff :-). But in case you do not find a solution from the swapbyzero function you mentioned I can suggest a workaround: Value a swap with the annual fix frequence. Given that it is a payer swap (pays the fixed leg), correct the value by: Substract the value of an annual fix coupon bond ...