January 2023
Intermediate to advanced
129 pages
3h 35m
English
Content preview from Inflation-Linked Bonds and Derivatives
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Chapter 2 The CPI Linkage, the Concept of Break-even Inflation and the Deflation Floor
As discussed in the first chapter, all cash-flows of index-linked products are tied to a consumer price index, which captures the changes in the prices of goods and services. In this chapter we go into the detail of how to calculate these reference indices and how index-linked bonds ensure investors receive a certain real return. We then go on to discuss break-even inflation, which links traded inflation products to the real world, and following on from this, the deflation floor, which comprises the unique behavior of products whose strike levels lie close to or at the zero value of actual inflation – the border between inflationary and deflationary environments. ...
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