Questions tagged [inflation]
The inflation tag has no usage guidance.
64
questions
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26 views
Which is the “correct” 5Y5Y Inflation Expectation on Bloomberg, and what are the differences?
When the market talks about 5Y5Y expectation, is it referring to FWISUS55 Index, or G0169 5Y5Y BLC2 Curncy on Bloomberg? I ...
0
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1answer
70 views
Where to Get the Yield of One Year Constant Duration TIPS ( inflation protected bonds)
Do you know where can I get the Yield of One Year Constant Duration TIPS ( inflation protected bonds). I found the yield of 5 year, but never could get the data for one year.
Many thanks!
1
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1answer
27 views
How to normalise companies relative to each other? Remove the effect of macro-economy?
I want to focus on companies-performance only and as much as possible remove the effect of macro-economy. Interest rate changes, crisis, inflation etc.
There are 2 goals:
Simplification of analysis ...
0
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1answer
61 views
What is the most convincing method/formula for carry and rolldown (in nominal terms) of inflation protected bonds
It is interesting that there is no thorough discussion and clear derivation on this per my search. I know TIPS are complex (compared to nominal bonds). The naive use of simple spot/forward yield ...
2
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2answers
107 views
Calculating Implied Volatility from a put option
I am trying to find the Black-Scholes implied vol from a put option. I know how to do this in the case of a regular put option on an underlier $S(t)$ where
$$ p(t, K) = e^{-r(T-t)}\mathbb{E}_Q\Big[ (K ...
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13 views
Looking for datasets with daily inflation rate for as many countries as possible
Here's an example of the kind of thing I'm looking for https://fred.stlouisfed.org/series/T10YIE
I'm also happy to perform transformation on other data to get an estimated/approximated daily value if ...
1
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1answer
50 views
How to evaluate embedded floor option in inflation linked bonds if interbank inflation floor instruments cannot be used or do not exist
Suppose we consider simple case that only par is protected against base price index, so it is with zero coupon floor feature. How do we value this option given that there is no inflation floor ...
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0answers
17 views
Jarrow-Yildrim like model with G2++
I would be interested in if there exists a Jarrow-Yildrim like model, but based on two factors like the G2++ model. If there is no particular description available yet, would it be possible to extend ...
2
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1answer
157 views
Inflation swaps rate vs. Break-even rate
Can someone explain me the difference between zero coupon inflation swap rate and breakeven rate? For example, currently, US 10y zero coupon inflation swap rate is about 1.4%, while US breakeven 10y ...
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0answers
24 views
How could we use 5 year Tips minus 2 Year Tips to get insight of Inflation Expection?
I read a article where the author used the difference the between yields of 5 year Tips and 2 year Tips as a proxy of the inflation expectation. Could anyone explain me what is the logic behind this ...
1
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1answer
36 views
How to deflate USD inflation?
On the picture below prices of SP500 and Gold (rescaled) for last 90 years.
There are at least 3 types of distortions caused by inflation:
Slow upward trend.
Sudden jumps caused by radical changes ...
0
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1answer
50 views
Inflation Indexed Caplet/Floorlet
Can someone explain what is it with $\psi_{i}$ (year fraction in $[T_{i-1},T_{i}]$). The formula in Mercurio (2006) as is follows:
$N\psi_{i}P_{n}(t,T_{i})\mathbb{E}_{n}^{T_{i}}\left[\left(\omega\...
0
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2answers
216 views
Hull-White Calibration /Hypothetical Cap Pricing
I have a question regarding calibrating Hull-White (Extended Vasicek) Model to bond data. As you know, and stated in Mercurio (2005), zero coupon bond price in the Hull and White (1994);
$P(t,T)=A(t,...
3
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0answers
108 views
Looking for a Paper: RBS Guide to Inflation-Linked Products
I wonder if any of you have an access to "The Royal Bank of Scotland (2003) Guide to Inflation-Linked Products. Risk." paper. It was in the bibliography of Mercurio's "Pricing Inflation Indexed ...
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2answers
151 views
Why Consumer Price Index is linear, when it should be exponential? And what to use instead?
Consumer Price Index looks like a very nice straight line, perfectly approximated with linear function (considering it only after the 1972).
$$cpi(years) = start + ...
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0answers
33 views
Inflation TIPS - What does it mean - 10Y breakeven shorts with 0.8 beta?
"10Y breakeven shorts with 0.8 beta"
"10Y breakeven shorts with long 80% nominal to eliminate long duration bias"
Are the above two the same, what do they mean?
1
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1answer
29 views
In a cleared inflation swap agreement, what determines how much “collateral” a party needs to deposit into the third party escrow account?
Does realized inflation or expected future inflation determine how much money needs to be placed into the escrow account each day?
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1answer
193 views
What happens to both sides of an inflation swap agreement if there is deflation?
If there is deflation does the Inflation receiver not only pay the fixed leg but also receives a reduced CPI?
I.e. does he lose twice?
3
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3answers
178 views
Can an individual hedge inflation that exceeds CPI-U?
Is there a way for an individual (i.e., excluding institutional tools and using only consumer products) in the U.S. to hedge inflation over the long term greater than that measured by CPI-U? ...
0
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0answers
113 views
“BTP ITALIA” Inflation Linker Pricing
I have some issue with pricing of Italian linker bonds (http://www.dt.tesoro.it/export/sites/sitodt/modules/documenti_en/debito_pubblico/titoli_di_stato/BTP_Italia.pdf) . The issue is their specific ...
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0answers
77 views
How to apply multiplicative price seasonality to bond prices in quantlib?
Can someone please give a brief or any link which explains how to apply multiplicative price seasonality to inflation linked bonds in Quantlib using python modules. Have gone through most of the ...
3
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1answer
128 views
how to simplify Inflation year-on-year option to Zero-coupon option
Belgrade 2004 paper basically proposes that inflation year-on-year volatilities (and hence yoy options) are basically the spread vols between the Zero-coupon vols from (t0 to T) minus the zero-coupon ...
2
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0answers
243 views
How to build an inflation term structure in QuantLib?
This is what I've got, but I'm getting weird results. Can you spot an error?:
...
2
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0answers
94 views
Understanding the link between inflation and credit spreads
I found a paper which uses inflation as an independant variable for credit spread. Unfortunately, the relationship is not explained in this paper. Further research got my to the paper of Kang/Pflueger ...
3
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0answers
77 views
Jarrow-Yildirim $\sigma_I$
Under the Jarrow-Yildirim model, the nominal short rate $r_n$, the real rate $r_r$ and index $I$
are modelled according to the following stochastic differential equations under the Martingale measure $...
2
votes
1answer
222 views
Where can I get some Inflation Option example quotes (year-on-year and zero-coupon)
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, ...
0
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0answers
34 views
Inflation of Bitcoins
https://www.google.com/amp/s/www.coindesk.com/bitcoins-next-halving-rally-coming-soon-in-2019%3famp
suggests that the inflation rate of Bitcoins is around 4 percent. Considering the fact that ...
4
votes
1answer
92 views
Consumer Price Index (CPI) Inflation Impact on Price of Securities
I was wondering if there are any papers on CPI announcements' impact on the price of certain securities that are tied to inflation rates. I know there are derivatives for inflation rate, but I was ...
1
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1answer
95 views
Inflation Lag Bond Valuation
Question:
On 1st March 2006 a government issued a large tranche of an index-linked bond having
a term of 6 years. Coupons of 4% p.a. were payable half-yearly in arrears and the bond
was redeemed at ...
1
vote
1answer
52 views
How does inflation impact stock returns? Academic examples
For a literature survey in my university class, I have been asked the question "How does inflation impact stock returns?".
After reading some informal articles (in periodicals/ the general internet), ...
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2answers
117 views
What is the impact of inflationary expectation on stock price?
It is well known that, at least theoretically, stock prices are expected to rise in an inflationary environment. Now, my question is that does the same go for inflationary expectations; for example if ...
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2answers
342 views
Relationship between BBB credit spreads and rising interest rates
A stylized fact in markets seems to be that there is a negative correlation between interest rates and corporate spreads - as interest rates rise, spreads tend to tighten and vice versa.
I'm ...
0
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2answers
143 views
Data for daily real interest rates
In a high frequency model i would like to add daily real interest rates (preferably short-term) as a variable.
However, I cannot seem to find either daily CPI data, or daily real interest rates (...
1
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1answer
620 views
What is the formula for the forward price of a inflation linked bond assuming there are coupons in the interim period and the deal is collateralised?
t2=forward settlement date
P=Spot clean price
AI0=Spot accrued interest
r=repo rate
t1=coupon payment date
AIt2= accrued interest of the forward settlement date
t0= now
Proceeds Method:
F(t2)=(...
0
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0answers
64 views
Does MV of IRS depend on inflation?
Question: At time=0 company A enters an 3y interest rate swap with a bank, where A recieves floating and pays fixed. After 1y, at t=1, the inflation changes from 1% to 3% does this affect the MV of ...
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1answer
647 views
convexity adjustment in YOY inflation swap , compared with TRS, and considering autocorrelation
a YOY inflation swaplet payoff is S2/S1 - 1 , where Si is the CPI at time i
and a TRS (total return swaplet) asset leg payoff is also the same except the underlying is an asset.
So it seems to me ...
0
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1answer
461 views
Pricing models for inflation-linked bonds?
I need to price an inflation-linked bond issued by italian government.
Which models are indicated for this bond?
I think I can price bond as a FRN plus an option on inflation rate.
But, first ...
0
votes
1answer
28 views
How can I measure wealth gain (loss) due to inequality?
As time passes, outside of inflation, the buying power of an individual changes relative to their peers wealth.
How can I measure the effect wealth inequality has relative to one's savings?
3
votes
1answer
222 views
Brazilian break even inflation curves
Brazil has had historically two sets of inflation bonds, the NTN-B and NTN-C series each with a different inflation index. The NTN-C is no longer issued.
When creating historical break even ...
0
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1answer
78 views
Measuring Medium-term Inflation expectations and real interest rate from OIS and Inflation Swaps
In this speech by Mario Draghi, in section '2:Responding to high unemployment', and subsection 'Boosting aggregate demand', Mario states «Over the month of August financial markets have indicated that ...
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2answers
1k views
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 ...
2
votes
2answers
167 views
Trading with Inflation, Unemployment, Trade Deficit Information
I am trying to create a model for inflation for trading purposes. In his book The Market: Practice and Policy S. Nickell presents a model that relates unemployment, inflation and trade deficit. His ...
2
votes
2answers
128 views
How to calculate interest rate in this problem?
Problem: A loan of £12,000 is issued and is repaid in instalments of £300 at the end of each month for 4
years. Calculate the effective annual rate of interest for this loan.
What I tried-
But ...
3
votes
2answers
82 views
How do we include inflation in our calculations? [closed]
How do we include inflation in our compound interest calculations?
E.g. if we have current principal of 1000$ and the interest rate is 3% after 10 years we have <...
1
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1answer
524 views
How to get real interest rate from Nominal spot rates?
I have the nominal spot rates. Based on the Fisher equation , how to get the real interest rate ($r$) and the "expected inflation" ($\pi$) ?
2
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0answers
268 views
CVA for an inflation linked swap
I am trying to value an inflation linked swap and wish to calculate the associated CVA and DVA.
I think the best way to approach this would be via a simulation.
Suppose I wish to calculate CVA over ...
4
votes
1answer
284 views
How do you deal with Inflation lag in a MC simulation?
Consider the UK RPI index. This index is published every month around the 15th (give or take a few days). The publication refers to the RPI index of the month before, so there is a lag of a few weeks ...
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2answers
887 views
Calculate single cashflow at maturity for a Total Return Inflation swap (zero coupon)
I'm a newbie to the world of swaps.
If I have a Total Return Inflation Swap (Receive CPI, Pay Fixed Zero Coupon)
Based on CPI Index starting level = 236
Notional = 100,000
Term = 5 Years
How can I ...
2
votes
1answer
199 views
Is printing money really a bad thing?
I have 2 related questions about increasing money supply: (I know high school level economics.)
1) In an economy which has low growth and deflation, is it at all a bad thing to print money? In fact, ...
1
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1answer
55 views
Cause of long term inflation in the United States [closed]
Does the US government have a policy of printing money? If so what is this number called, who decides what it is, and where can I find it? If not what is the cause of our long term inflation? (I'm ...
