Real rate swaption and zero coupon inflation index swaption | Zendy

Christian Kamtchueng | Zendy

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Real rate swaption and zero coupon inflation index swaption

Author(s) -

Christian Kamtchueng

Publication year - 2017

Publication title -

international journal of bonds and derivatives

Language(s) - English

Resource type - Journals

eISSN - 2050-229X

pISSN - 2050-2281

DOI - 10.1504/ijbd.2017.10004733

Subject(s) - index (typography) , inflation (cosmology) , economics , zero (linguistics) , coupon , computer science , physics , philosophy , theoretical physics , world wide web , linguistics , finance

Inflation products have been developed in the mid '90s. Over the past decade, the market has increased in size and volume. After the credit crunch and the fear of recession, investors have been very pushy for inflation linked derivatives, the major buyer being pension funds. Some interests have been expressed for real rate pure exposure. We will describe a methodology for the pricing of real rate swaption under LMM SABR.

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