Inflation derivatives module
Calculate value and risk metrics of inflation rate derivatives, perform stress scenarios and validate models using 131 functions, 11 Excel workbooks containing examples, manual calculations and templates included in this module.
Instrument coverage and functionality
10 functions related to inflation rate derivativesFunctions in this module calculate value and risk metrics (Macaulay Duration, Modified Duration and DV01) of the following types of inflation derivatives:
- Zero Coupon Inflation Swap
- Real Rate Inflation Swap
Excel examples and templates
4 Excel workbooks with dozens of spreadsheets illustrating the use of functions and their various implementations.One Excel workbook accompanied with the module include examples of all functions related to inflation rate derivatives. We recommend to use the relevant workbooks before your first use of the specific function.
By one click a table including forward rates, cash flows, discount factors and discounted cash flows is generated.
3 Excel workbooks include examples in which manual calculations are shown and their results are compared to the ones of the functions.
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Frequent questions
What types of inflation derivatives are covered in GIAnalyzer?
Zero coupon inflation swap and real rate inflation swap are covered in this module.
What is seasonality and when is it used?
Seasonality expresses by how much the inflation in a specific month differs from average monthly inflation across the year. It is used in interpolation calculations. For example, if the expected inflation for 1 year is 1% and 2% for two years, the expected inflation for 1.5 years without seasonality will be 1.5%, but using seasonality might lead to different result, according to the seasonality in the first six months.
Is the seasonality incorporated in the calculations?
Yes, it is one of the parameters in all calculations related to inflation derivatives.
Should the currencies in the inflation leg and in the nominal leg of real rate inflation swap be the same?
No, the currency in the nominal leg can be different from the currency in the inflation leg.