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

Inflation-Linked Derivatives Solutions from Numerix

Numerix CrossAsset (Inflation Module)
Flexible pricing and risk analytics, available in Excel or APIs in C#, C++ or Java
Numerix Bloomberg Edition (Inflation Module)
Daily MTM in Excel and BPS with turnkey Bloomberg data
Numerix LiquidAsset
Function-based pricing for liquid derivatives
Numerix Portfolio (Inflation Module)
Trade capture and risk reporting for custom inflation-linked notes/swaps
Numerix Partner Solutions
Leading trading and risk systems integrated with Numerix analytics