Serving the Quantitative Finance Community

 
User avatar
player
Topic Author
Posts: 0
Joined: August 5th, 2002, 10:00 am

real yield

March 16th, 2007, 2:19 pm

Does anyone know of an instrument which is linked to the real yield and is fairly well traded...ie bid -ask spreads are low volumne relatively high...failing that anyone have a list of instrumetns which are just linked to the real yield...preferably in US/euro area??
 
User avatar
gc
Posts: 10
Joined: September 21st, 2002, 10:08 pm

real yield

March 16th, 2007, 2:30 pm

For both the US market and Euro market there is a large size of inflation linked bonds (TIPS for USCPI and inflation linked bonds issued by France, Italy, Germany and Greece for HICP-ex-tobacco).I wonder if trading inflation linked bonds versus their nominal counterparts, that effectively means trading the break even inflation, would be something similar to what you require.Also there is a relatively liquid market in inflation swaps for HICPXT (but it's almost dead in US). Most Interdealer brokers will be able to help you with quotes
Last edited by gc on March 15th, 2007, 11:00 pm, edited 1 time in total.
 
User avatar
cemil

real yield

March 16th, 2007, 2:55 pm

for Euro market, zero coupon infaltion swap (from 2yr to 30yr) and the breakeven cash il bond are liquid market for french and italian il bonds.