I am writing an academic paper on calibration of inflation vanilla options.

I need to generate examples for the paper. Is there anywhere I can get example data for the Inflation year-on-year options, and inflation zero-coupon options?

It doesn't have to be recent, but hopefully within the past 2 years.

Kind regards


This is more of a suggestion rather than an explicit source of prices.

One way one can get expected inflation from the fixed income markets. By comparing yields of TIPS to similar maturity yields on nominal Treasury Bond/Note prices, one can back out the expected inflation.

If you develop a historical series of expected inflation, you can then calculate the volatility and use this in an appropriate options pricing model.

One caveat is that the instruments where you would use to extract the expected inflation, are most likely short term and therefore will experience reduced volatility as they approach maturity. As such, the expected volatility of expected inflation will most likely decline as well. You may be able to compensate for this by only using instruments with sufficient life. For example, to extract 1Yr expected inflation by only using TIPS and nominal bonds with 1Yr to maturity.

Of course these would model prices and not market prices and therefore may not be useful to your desire to provide a calibration mechanism.

  • $\begingroup$ hi @AIRacoon, not sure what you mean. Do you refer to the real-rate in this case, or you refer to inflation derivatives/options can be implied from the inflation and nominal bond prices itself? $\endgroup$ – Kiann Feb 24 '19 at 23:39
  • $\begingroup$ @Kiann I am going to delete my answer after you get this message. I forgot that the principal is actually reduced by deflation, as well as increased by inflation in TIPs. As such, it is not an option. Apologies for any confusion and setting you down a wrong path. $\endgroup$ – AlRacoon Feb 25 '19 at 15:15
  • $\begingroup$ ok. Sure... feel free $\endgroup$ – Kiann Feb 25 '19 at 16:16
  • $\begingroup$ @Kiann Amended it to provide a suggestion of how you might arrive at option prices. $\endgroup$ – AlRacoon Feb 25 '19 at 19:34

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