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Pricing model for an Inflation Swap

Pricing model for an Inflation Swap

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Published by chertok
This note describes a pricing model for an inflation swap. An inflation swap is a contract between two counterparties where at maturity sides exchange a pre-specified payment determined by the the inflation rate at inception for a payment determined by the simple rate of return of the Consumer Price Index (CPI) from inception to maturity.
This note describes a pricing model for an inflation swap. An inflation swap is a contract between two counterparties where at maturity sides exchange a pre-specified payment determined by the the inflation rate at inception for a payment determined by the simple rate of return of the Consumer Price Index (CPI) from inception to maturity.

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Published by: chertok on Nov 09, 2012
Copyright:Attribution Non-commercial

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11/09/2012

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