January 2023
Intermediate to advanced
129 pages
3h 35m
English
Content preview from Inflation-Linked Bonds and Derivatives
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Chapter 1 Inflation Indices
Introduction
Inflation-indexed products (“linkers”) promise investors a certain real return, including the effect of inflation. The cash-flows of these products are linked to a price index (usually a consumer price index [CPI]), which captures the changes in the prices of goods and services of the country where the product is based. CPIs form the backbone of inflation markets and in this chapter we present the key characteristics and components of the major euro area and US price indices and discuss measurement issues as well as metrics for assessing underlying inflation. The inflation markets are constantly changing and thus metrics for size, flow and product popularity change with time. We have supplied dates ...
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