Matches in DBpedia 2015-10 for { <http://dbpedia.org/resource/Inflation_derivative> ?p ?o }
Showing triples 1 to 84 of
84
with 100 triples per page.
- Inflation_derivative abstract "In finance, inflation derivative (or inflation-indexed derivatives) refers to an over-the-counter and exchange-traded derivative that is used to transfer inflation risk from one counterparty to another. See Exotic derivatives.Typically, real rate swaps also come under this bracket, such as asset swaps of inflation-indexed bonds (government-issued inflation-indexed bonds, such as the Treasury Inflation Protected Securities, UK inflation-linked gilt-edged securities (ILGs), French OATeis, Italian BTPeis, German Bundeis and Japanese JGBis are prominent examples). 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). Inflation swaps are typically priced on a zero-coupon basis (ZC) (like ZCIIS for example), with payment exchanged at the end of the term. One party pays the compounded fixed rate and the other the actual inflation rate for the term. Inflation swaps can also be paid on a year-on-year basis (YOY) (like YYIIS for example) where the year-on-year rate of change of the price index is paid, typically yearly as in the case of most European YOY swaps, but also monthly for many swapped notes in the US market. Even though the coupons are paid monthly, the inflation rate used is still the year-on-year rate.Options on inflation including interest rate caps, interest rate floors and straddles can also be traded. These are typically priced against YOY swaps, whilst the swaption is priced on the ZC curve.Asset swaps also exist where the coupon payment of the linker (inflation bond) as well as the redemption pickup at maturity is exchanged for interest rate payments expressed as a premium or discount to LIBOR for the relevant bond coupon period, all dates are co-terminus. The redemption pickup is the above par redemption value in the case of par/par asset swaps, or the redemption above the proceeds notional in the case of the proceeds asset swap. The proceeds notional equals the dirty nominal price of the bond at the time of purchase and is used as the fixed notional on the LIBOR leg.Real rate swaps are the nominal interest swap rate less the corresponding inflation swap. As for modelling, the trend has been either to provide : a model describing at the same time, nominal rates, real rates and inflation and representing the inflation as the exchange rate between nominal and real rates. The first type of model along these lines has been the one of Jarrow and Yildirim. a market model that represent the inflation like a real asset and uses similar ideas as the one of BGM to represent the inflation returns. The first type of model along these lines has been the one of Blegrade, Benhamou, Koehler that is commercially available in Pricing Partners modelling suite. Another more advanced version has been the one of Fabio Mercurio and Nicola Moreni↑ ↑ ↑".
- Inflation_derivative wikiPageExternalLink 084%20Tips%20JFQA%202003.pdf.
- Inflation_derivative wikiPageExternalLink www.hoare-capital.com.
- Inflation_derivative wikiPageExternalLink isda-inflationdef.aspx.
- Inflation_derivative wikiPageExternalLink ajgc28.pdf.
- Inflation_derivative wikiPageExternalLink Inflation_Derivatives.pdf.
- Inflation_derivative wikiPageExternalLink pr_inflation.htm.
- Inflation_derivative wikiPageID "8363016".
- Inflation_derivative wikiPageLength "5673".
- Inflation_derivative wikiPageOutDegree "57".
- Inflation_derivative wikiPageRevisionID "591899556".
- Inflation_derivative wikiPageWikiLink Asset_swap.
- Inflation_derivative wikiPageWikiLink Asset_swaps.
- Inflation_derivative wikiPageWikiLink Bond_coupon.
- Inflation_derivative wikiPageWikiLink Category:Derivatives_(finance).
- Inflation_derivative wikiPageWikiLink Category:Inflation.
- Inflation_derivative wikiPageWikiLink Category:Interest_rates.
- Inflation_derivative wikiPageWikiLink Co-terminus.
- Inflation_derivative wikiPageWikiLink Compounded_fixed.
- Inflation_derivative wikiPageWikiLink Coupon.
- Inflation_derivative wikiPageWikiLink Coupon_payment.
- Inflation_derivative wikiPageWikiLink Coupons.
- Inflation_derivative wikiPageWikiLink Derivative_(finance).
- Inflation_derivative wikiPageWikiLink Dirty_nominal_price.
- Inflation_derivative wikiPageWikiLink Discounting.
- Inflation_derivative wikiPageWikiLink Exotic_derivative.
- Inflation_derivative wikiPageWikiLink Exotic_derivatives.
- Inflation_derivative wikiPageWikiLink Finance.
- Inflation_derivative wikiPageWikiLink Fixed_notional.
- Inflation_derivative wikiPageWikiLink Gilt-edged_securities.
- Inflation_derivative wikiPageWikiLink Inflation.
- Inflation_derivative wikiPageWikiLink Inflation-indexed_bond.
- Inflation_derivative wikiPageWikiLink Inflation_rate.
- Inflation_derivative wikiPageWikiLink Inflation_swap.
- Inflation_derivative wikiPageWikiLink Interest_rate.
- Inflation_derivative wikiPageWikiLink Interest_rate_cap_and_floor.
- Inflation_derivative wikiPageWikiLink Interest_rate_swap.
- Inflation_derivative wikiPageWikiLink Interest_rate_swaps.
- Inflation_derivative wikiPageWikiLink JGBi.
- Inflation_derivative wikiPageWikiLink LIBOR.
- Inflation_derivative wikiPageWikiLink Libor.
- Inflation_derivative wikiPageWikiLink Maturity_(finance).
- Inflation_derivative wikiPageWikiLink Nominal_interest_swap_rate.
- Inflation_derivative wikiPageWikiLink Notional.
- Inflation_derivative wikiPageWikiLink Option_(finance).
- Inflation_derivative wikiPageWikiLink Over-the-counter_(finance).
- Inflation_derivative wikiPageWikiLink Par_value.
- Inflation_derivative wikiPageWikiLink Public_float.
- Inflation_derivative wikiPageWikiLink Real_rate_coupon.
- Inflation_derivative wikiPageWikiLink Real_rate_swaps.
- Inflation_derivative wikiPageWikiLink Redemption_pickup.
- Inflation_derivative wikiPageWikiLink Risk_premium.
- Inflation_derivative wikiPageWikiLink Straddle.
- Inflation_derivative wikiPageWikiLink Swaption.
- Inflation_derivative wikiPageWikiLink Trade.
- Inflation_derivative wikiPageWikiLink Traded.
- Inflation_derivative wikiPageWikiLink Treasury_Inflation_Protected_Securities.
- Inflation_derivative wikiPageWikiLink United_States_Treasury_security.
- Inflation_derivative wikiPageWikiLink YYIIS.
- Inflation_derivative wikiPageWikiLink Year-on-Year_Inflation-Indexed_Swap.
- Inflation_derivative wikiPageWikiLink ZCIIS.
- Inflation_derivative wikiPageWikiLink ZC_curve.
- Inflation_derivative wikiPageWikiLink Zero-Coupon_Inflation-Indexed_Swap.
- Inflation_derivative wikiPageWikiLink Zero-coupon_bond.
- Inflation_derivative wikiPageWikiLinkText "Inflation derivative".
- Inflation_derivative wikiPageWikiLinkText "derivative product".
- Inflation_derivative wikiPageWikiLinkText "inflation derivative".
- Inflation_derivative hasPhotoCollection Inflation_derivative.
- Inflation_derivative wikiPageUsesTemplate Template:Derivatives_market.
- Inflation_derivative wikiPageUsesTemplate Template:More_footnotes.
- Inflation_derivative subject Category:Derivatives_(finance).
- Inflation_derivative subject Category:Inflation.
- Inflation_derivative subject Category:Interest_rates.
- Inflation_derivative type Article.
- Inflation_derivative type Article.
- Inflation_derivative type Indicator.
- Inflation_derivative type Market.
- Inflation_derivative comment "In finance, inflation derivative (or inflation-indexed derivatives) refers to an over-the-counter and exchange-traded derivative that is used to transfer inflation risk from one counterparty to another.".
- Inflation_derivative label "Inflation derivative".
- Inflation_derivative sameAs m.0270r_f.
- Inflation_derivative sameAs Q17082523.
- Inflation_derivative sameAs Q17082523.
- Inflation_derivative wasDerivedFrom Inflation_derivative?oldid=591899556.
- Inflation_derivative isPrimaryTopicOf Inflation_derivative.