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Inflation-Linked Instruments - Pricing
Inflation-linked instruments (linkers) are used by entities such as banks, corporates and sovereigns to protect their assets and liabilities against the risk of inflation. Linkers pay investors a fixed rate plus an amount tied to an inflation index, thus protecting the investor's return against inflation. Inflation derivatives have many uses including transferring inflation risk, optimizing market timing, hedging portfolios, creating synthetic securities and conducting arbitrage.
In this course, you will learn how to price an index-linked bond and measure the sensitivity of the prices of these bonds to changes in real and nominal yields. You will also learn how to build an inflation curve in order to price inflation swaps, and how to value an inflation option.
On completion of this course, you will be able to:
• Price an index-linked bond
• Measure the price sensitivity of index-linked bonds
• Price an inflation derivative
Topic 1: Pricing Index-Linked Bonds
o Real Yield
o Index-Linked Bond vs. Convectional Bond
o Index-Linked Security
o Index-Linked Gilt
o Index Annuity Bond
Topic 2: Index-Linked Bond Price Sensitivity
• Price Sensitivity
o Real Duration
o Effective Duration
o Other Measures
Inflation-Linked Instruments - An Introduction - View Now
ESTIMATED COMPLETED TIME
Other Courses In:
Inflation-Linked Instruments - An Introduction
Inflation-Linked Instruments – An Introduction
In this course, we will look at how the market for inflation derivatives developed out of the index-linked security market. We will also discuss the structures and uses of various inflation derivative instruments.
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