The Bloomberg Ticker for EUR (2Y) zero coupon inflation swap is EUSWIT2 and offered as delayed quotes http://www.bloomberg.com/apps/quote?ticker=EUSWIT2:IND(I don't have access to bloomberg so I have to use the delayes quotes for now)* Does anyone know the ticker for EUR(or any other currency) "inflation year on year swaps?* And also, for inflation caps/floors ?If the bloomberg ticker is not available, is there some delayed quotes that one can get cheaply ? I've been struggling like ***** to get these quotes. Don't want to have to buy a bloomberg terminal just to get it. But in worst case i'm prepared to sign up for some reasonably priced data feed(max 300EUR/month) just to get these quotesThanks a lot!

usually 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 paid services, and doesnt come by default with the terminal. So I doubt you will get it from there website. You can try and get the implied YOY quotes from the ZCs. For capfloors try EUISC<> and EUISF<> serieses, these are YOYp.s. are you sure you want the ticker EUSWIT<>??? this is based on CPALEM index, the market standard is the ZCs based on CPTFEMU, the ticker is EUSWI<>

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 paid services, and doesnt come by default with the terminal. So I doubt you will get it from there website.That's what I feared. So the only way to get the quotes is to pay for bloomberg/reuters AND pay for the addon for the dealer quotes. Or buy the data from them directly (e.g. Tullet Prebon) . Ouch. How do researchers get access to this data i wonder. It's used in many papers.QuoteOriginally posted by: prodiptag You can try and get the implied YOY quotes from the ZCs.Kinda, but there is the matter of the convexity adjustment for YoY's. I toying around with fitting Mercurious market model to YoY quotes to do a naive imply of the inputs for the convexity adjustment(correlations and vols)QuoteOriginally posted by: prodiptagFor capfloors try EUISC<> and EUISF<> serieses, these are YOYCan't get this to work. Could you give an example of an actual ticker symbol for like the 2 year cap ? I'm not so bloomberg savvyQuoteOriginally posted by: prodiptagp.s. are you sure you want the ticker EUSWIT<>??? this is based on CPALEM index, the market standard is the ZCs based on CPTFEMU, the ticker is EUSWI<>Looks like CPTFEMU corresponds to EUR HICPxT and that's exactly what i want. Thanks for pointing that out!

you are welcomeexample of a cap, EUIS22 Curncy -> 2y struck at 2%, EUISFA2 Curncy -> 2y 0 strike floor, and yes you would need convexity adjustments (and others, like lag/ interpolation etc), for 2y that shouldnot be too large (where as the lag/interpolation is still important), but of course depends on your purpose

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 adjustment is smallish.