Deriscope

The Excel Derivatives Periscope

Infl_Curve


Infl Curve is a
direct subtype of Valuation with functions Infl Curve Functions that represents what practitioners understand under market available inflation rate information for all maturities.
The inflation 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 Curve::Build Method and interpolated according to Interpolation::Interp Method