Pricing Inflation Swap, Cap and Floor
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12.12.2022
Co-author
Affiliation
BMO
Main category
Economics (General Management)
Abstract
A model is presented for pricing swaps, caps, and floors on inflation index returns. To capture general term structures of interest rates and index volatilities, the model requires time-averaged forward rate, and volatility inputs.
Further information
Further reading
https://ia601401.us.archive.org/34/items/inflation-swap-cap/InflationSwapCap.pdf
Language
English
DOI
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