<t>Works beautifully. Now that I think about it, I can always attempt to fit the model to the YoY cap/floor vol surface, since - just like the YoY swap curve - it's dependent on volatilities and correlations. That's perhaps even a more interesting calibration, given that the YoY swap convexity adjus...

<t>First, thanks so much for the answers!QuoteOriginally posted by: prodiptagusually you dont get the quotes for YOY swaps, the market standard is ZC for inflations in most markets (in fact in all that I know). Some sellsides( banks)/brokers do publish pages for YOY quotes though, they usually are p...

<r>The Bloomberg Ticker for EUR (2Y) zero coupon inflation swap is EUSWIT2 and offered as delayed quotes <URL url="http://www.bloomberg.com/apps/quote?ticker=EUSWIT2:IND">http://www.bloomberg.com/apps/quote?ticker=EUSWIT2:IND</URL>(I don't have access to bloomberg so I have to use the delayes quotes...

<t>Looking at the paper Pricing Treasury Inflation Protected Securities...In equation (3), page 339 we have the price of a treasury inflation protected bond defined asOn page 342, we should be able to use (13) and (16) - the dynamics of P_r(t,T) and I(t) - , to check that (15) - the dynamics of P_TI...

<t>QuoteOriginally posted by: daveangelwell you will have a lot more flexibility with Fincad (or any other Excel absed plugin) than Bloomberg. Also, valuing 500 plain vanilla swaps should be quick in Excel. trying do a multi-currency swaps book using Bloomberg if you can. I am not sure you are comap...

<t>This a question for those who use this product or have knowledge about it. As i understand it, it´s just an Excel plugin to quickly price a contract. So if you want to aggregate price and risk figures for your whole portfolio of say, 500 swaps then one typically will use a real FO system. And fin...

<t>QuoteOriginally posted by: freddiemacThe Lehman paper that I posted explains the XCCY basis a bit differently. They explain it by first considering a default free world (with equal supply to different currencies I might add). In a default free setting a XCCY should trade flat (ie be zero). Howeve...