Inflation

Inflation

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:

Customizable Instrument Templates*
  • Zero-Coupon Inflation-Linked Swap (ZCIIS)
  • Year-on-Year Inflation Bond
  • Inflation Caps/Floors
  • Inflation-Linked Bond
  • Cross-Currency Inflation-Linked Bond/Swap
Models and Methods*
  • Inflation Market Model (IMM)
  • Heston IMM
  • SABR IMM
  • Generalized Jarrow-Yildirim (JY) Inflation Model
  • Cross-Currency JY Hybrid Model
  • Stripping of Real Rate Curve from ZCIIS
  • Support for CPI Index with Seasonality Corrections
  • Analytic/Generic Tree/Monte Carlo Simulations

* Not an exhaustive list

 

Spotlight on Inflation-Linked Products

We dissect the elements of inflation-linked notes and demonstrate how these products can be structured and used successfully with Numerix.

View Webinar Replay

 
 

Inflation-Linked Derivatives Solutions from Numerix