Inflation derivatives
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Inflation Derivatives or inflation-indexed derivatives refer to OTC and exchange traded derivatives that are used to transfer inflation risk from one counterparty to another. Typically, real rate swaps also come under this bracket. Inflation swaps are the linear form of these derivatives. They can take a similar form to fixed versus floating interest rate swaps (which are the derivative form for fixed rate bonds), but use a real rate coupon versus floating, but also pay a redemption pickup at maturity (i.e. the derivative form of inflation-indexed bonds). Also see inflationderivatives.com
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- Deacon, Mark, Andrew Derry, and Dariush Mirfendereski; Inflation-Indexed Securities: Bonds, Swaps, and Other Derivatives (2nd edition, 2004) Wiley Finance. ISBN 0-470-86812-0.