R2R^IL+ is our toolkit for the inflation trader, structurer and quantitative researcher. It comes with a full Excel integration and delivers a comprehensive coverage of the inflation linked securities and derivatives. Among others it covers the following inflation indexed products:

• CPI Forwards
  
• YoY HICP and CPI Swaps
• Zero Coupon HICP and CPI Swaps
• Inflation Asset Swaps (Par/Par, Pro/Pro, Accreting)
  
• Inflation Linked Bonds
  

Our pricing methods achieve high precision due to:

• Use of the complete available market information for bootstrapping the CPI Forward Curve (e.g. Bond Break Evens, CPI Swaps, CPI Futures)
  
• The CPI Forward Level interpolation method fully incorporates the CPI seasonality

R2R^IL+ provides also a full interest rate and CPI sensitivity analysis.

The Toolkit includes also pricing and risk management capabilities for linear interest rate derivatives. It's basic capabilities include calendar and conventions for all major marketplaces, a bootsrapping procedures for Zero Yield Curves using either log-liner or cubic spline interpolation of the zero rates.
The basic instrument pricing module provides support for bonds (Yield, Duration), swaps (step-up, step-down, amortizers, irregular schedule), plain vanilla options (Cap/Floor, Swaption).