Deriscope The Excel Derivatives Periscope
Coverage
Infl_Crv
Infl Crv is a child type of Valuation that represents what practitioners understand under market available inflation rate information for all maturities.
The credit curve is required whenever cash flows linked to some Inflation Index - such as a specific Consumer Price Index - are present.
Its purpose is to provide the required forecasted future values of the inflation index that is compatible with a given set of market inputs.
The following market input data are supported:
Zero Inflation Swap rates (used when a relative index is involved)
Year-On-Year Inflation Swap rates (used when a year-on-year index is involved)
The extraction of inflation indices is not uniquely determined by the market inputs.
The inflation index is built for all possible times according to Infl Crv::Build Method and interpolated according to Interpolation::Interp Method
The following functions are also available within Infl Crv:
Infl Crv Functions 