Structure and Price Any Type of Inflation-Rate Derivative
Numerix provides comprehensive coverage for any conceivable type of inflation-linked instrument through our infinitely flexible deal-structuring architecture, payoff scripting language and a comprehensive library of market-standard inflation models and proprietary numerical methods.
Below is a sampling of deal templates that users can customize as needed, as well as models and methods available with Numerix:
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Customizable Instrument Templates*
- Zero-Coupon Inflation-Linked Swap
- Year-on-Year Inflation Bond
- Inflation Caps/Floors
- Inflation-Linked Bond
- Cross-Currency Inflation-Linked Bond
- Cross-Currency Inflation-Linked Swap
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Models and Methods Available*
- Generalized Jarrow-Yildirim (JY) Inflation Model
- Cross-Currency JY Inflation Hybrid Model
- Stripping of Real Rate Curve from Zero-Coupon Inflation-Indexed Swaps (ZCIIS)
- Support for CPI Index with Seasonality Corrections
- Analytic/Generic Tree/Monte Carlo Simulations
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* Not an exhaustive list