# What is the “inflation delta” of an option?

I'm preparing a report on the different Greeks used in risk measurement, and my boss mentioned the inflation delta within the first-order Greeks (and the Inflation Vega, but I guess that if I figure out the first, I will get the latter as well).

Does anybody know what is commonly referred to as "inflation delta" of a derivative?

• In Fixed Income (which is not my field) people worry about inflation risk, and so yes, a bond portfolio has an inflation delta. Roughly speaking the "three year inflation delta" is the change in present value of the portfolio for a 1 basis point increase in three year inflation. – Alex C Jun 13 '16 at 4:04
• The three year inflation compensation can be estimated from 3 year ZC inflation swaps. – noob2 Jun 13 '16 at 11:56