Best way to construct an IPCA inflation curve

Greekman · May 5th, 2011, 8:03 pm

Whats the market standard approach in terms of constructing an IPCA inflation curve to be used for pricing of IPCA x DI swaps?

torquant · May 16th, 2011, 12:47 pm

The IPCA market is quite thinly traded, but you could try following onshore USD curve construction from FRCs.

ishakh · August 17th, 2011, 12:31 am

Would appreciate it if could you pls elaborate. FRCs are FRAs on the DI x Dollar spread, so not sure how one could construct an inflation curve from that. Thanks in advance.