The Excel Derivatives Periscope



Inflation Curve is a 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
Inflation Curve::Build Method and interpolated according to Interpolation::Interpolation Method

The following
functions are also available within Inflation Curve:
Inflation Curve Functions