Deriscope

The Excel Derivatives Periscope

Coverage

Inflation_Swap

Inflation Swap is a child type of Swap that represents a swap, whereby a fixed interest rate is exchanged for inflation-linked floating payments in regular time intervals until the swap's maturity.
An entry of type
Inflation Swap::Swap Type determines whether the swap represents a Zero Inflation Swap a Year-On-Year Inflation Swap or a Inflation Adjusted Rate Swap.

The pricing methodology is specified in
Model[Inflation Swap]