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Table Of Contents

1. INTRODUCTION1
2. THE MARKETS
2.1. Growth and size
2.2. Market breadth
2.3. Market participants
2.4. Products overview
3. INFLATION INDICES
3.1. Euro area
3.2. France
3.3. United Kingdom
3.4. United States
3.5. Other indices
3.6. Seasonality in inflation indices
4. INFLATION BASICS AND CONCEPTS
4.1. Inflation, nominal value and real value
4.2. Inflation-linked cashflows and real bonds
4.3. Indices, indexation lags and announcements
4.4. Breakeven inflation
4.5. Components of breakeven inflation rate
5. ZERO-COUPON INFLATION SWAPS
6. INFLATION ANALYSIS FRAMEWORK
6.1. Constructing an inflation curve
6.2. Inflation and interest rate risk
6.3. Counterparty risk
6.4. Rounding risk
6.5. Seasonality risk
6.6. Institutional risk
7. INFLATION SWAPS AND FUTURES
7.1. Revenue inflation swap
7.2. OTC inflation bond
7.3. Period-on-period inflation swaps
7.4. Inflation asset swaps
7.5. Inflation futures
8. INFLATION VOLATILITY PRODUCTS
8.1. Inflation caps and floors
8.2. Inflation swaptions
8.3. LPI swaps
8.4. Inflation spread options
9. STRUCTURED INFLATION PRODUCTS
9.1. Total return swaps
9.2. Inflation-linked equity
9.3. Inflation-linked equity options
9.4. Inflation-linked credit default swaps
9.5. Inflation-linked CDO
10. LEGAL, REGULATORY, AND ACCOUNTING ISSUES
10.1. ISDA inflation derivatives documentation
10.2. Regulation for pension funds
10.3. Accounting standards
APPENDIX
A.1. Calculating inflation asset swap spreads
A.2. Estimation of seasonal patterns
A.7. Valuation of inflation swaptions
REFERENCES
GLOSSARY
SUMMARY OF NOTATION AND DEFINITIONS
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[Lehman Brothers, Kerkhof] Inflation Derivatives Explained - Markets, Products, And Pricing

[Lehman Brothers, Kerkhof] Inflation Derivatives Explained - Markets, Products, And Pricing

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Published by: irina2386 on Sep 01, 2010
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11/15/2012

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