Questions tagged [inflation]

The tag has no usage guidance.

24 questions with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
4
votes
0answers
150 views

Inflation/Rates Correlation

I've been looking into a short piece of maths a colleague has written on pricing inflation with payment delays, and was hoping someone could confirm whether my understanding is correct, or if my ...
4
votes
1answer
127 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 ...
3
votes
0answers
133 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 ...
3
votes
0answers
105 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
0answers
60 views

Inflation Option Modelling Approaches

I am trying to come up with a simplistic inflation option model to get a sense of the materiality of some inflation-indexed contracts containing inflation guarantees. I have a stochastic nominal IR ...
2
votes
0answers
352 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
votes
0answers
119 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 ...
2
votes
0answers
294 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 ...
1
vote
0answers
35 views

Should I train (and apply) a commodity forecasting model using nominal or real historical (futures) prices?

I am forecasting hourly power prices by applying Gradient Boosting to, among other variables, average monthly gas prices. The algorithm is currently trained on historical nominal monthly average gas ...
1
vote
0answers
25 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
vote
0answers
56 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
vote
0answers
146 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 ...
1
vote
0answers
110 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 ...
1
vote
0answers
52 views

Index tracker and inflation

I'm trying to get my head around how inflation really affects index trackers. I've been looking at this question, but somehow misses the point I want (How To Account For Inflation Over Historical Data)...
1
vote
0answers
198 views

Pricing inflation lags

I've been looking into a short piece of maths I found on pricing inflation with payment delays, and was hoping someone could confirm whether my understanding was correct or if the maths isn't quite ...
0
votes
0answers
35 views

Help with unexpected inflation beta?

I read an article here about unexpected inflation betas. The concept seems simple: regress nominal returns of an asset onto “unexpected inflation.” Then for every 1% rise in unexpected inflation, we ...
0
votes
0answers
34 views

What details must be considered when assessing an asset’s inflation beta?

The inflation beta of an asset is described as: $$ r_{i,t}-r_f = \alpha_i + \beta_\pi^i \epsilon_{\pi, t} + u_{i,t} $$ For shorthand, I will use “return” to mean excess return. In academic literature ...
0
votes
0answers
16 views

Inflation and growth due to inflation canceling out in cap rate formula?

A cap rate can be described as: K = RFRr + i + RPi + RPp – Gr – Gi + D Where K = cap rate RFRr is the real risk free rate, or index-linked bond i = average expected inflation RPi = the inflation risk ...
0
votes
0answers
73 views

Is the price of the following inflation derivative observed/traded?

Let $M_{t\to t+2}^{\\\$}$ be the pricing kernel (SDF) from period $t$ to $t+2$. Let inflation over period $t$ to $t+1$ be denoted by $\Pi_{t \to t+1}$. Is it possible to observe the following quantity ...
0
votes
0answers
26 views

ARMAX model with rolling window for predicting inflation

First of all, similar questions like mine are answered on this forum but I never quite saw an answer to this specific question. I'm trying to predict inflation by using an AR model with exogenous ...
0
votes
0answers
4 views

How to adjust a cash transfer program's income requirements for inflation?

For a study, I would like to "estimate" the income requirements for a cash transfer program on 2018 based on information from 2015. This cash transfer program has two income lines that it ...
0
votes
0answers
47 views

What are the differences between the two equations relating inflation, real interest rates and nominal interest rates?

My lecturer showed two equations to describe the relationship between inflation, nominal and real interest rates, denoted as $I, RN, RR$, respectively. Then we have the following equations $$ 1+ RR_{1-...
0
votes
0answers
41 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 ...
0
votes
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 ...