inflation derivatives market

derivababy · November 3rd, 2005, 9:39 am

hi mates,(1) is the euro denominated inflation derivatives active?(2) is there some broker screen (reuters or bloomy) to follow it ?

gc · November 3rd, 2005, 9:49 am

Quote(1) is the euro denominated inflation derivatives active?Yes, extremely..Quote(2) is there some broker screen (reuters or bloomy) to follow it ? You can get ICAP quotes on Reuters : ICAPINFLATIONor a Bloomberg page ICPI

derivababy · November 3rd, 2005, 10:24 am

thnk u GC,btw, as far as i understand, there is no "volatility market" on inflation -just swaps-, correct?

gc · November 3rd, 2005, 10:39 am

Inflation swaps are becoming quite liquid these days. Occasionally there is someone trading a inflation floor or a swaption, but they are so infrequent that, as far as i know, it's very hard to find quote for volatilities...Give the market a few more years, and I'm sure that the option market will probably develop more...

derivababy · November 3rd, 2005, 1:41 pm

thanks mate.I attach this guide (sure you already know it)

gc · November 22nd, 2005, 5:16 pm

Hi DerivaBaby,Thanks for the attachment from Lehman Bros... I didn't have it, and I found it well written and useful...I wonder if you are trading inflation caps&floors... If you do, are you using the model described by Lehman? If so, how are you estimating the volatilities to input? (since we hardly see any product trading, we tend to use IR bpvols, make them a bit smaller and use them to have an idea of where the market could be... but honestly I think it's a bit of a joke... and a trader is starting to be very unhappy with my quotes....

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TheMullah · November 23rd, 2005, 7:38 am

also: INFL on bloomberg

mathmarc · November 23rd, 2005, 11:04 am

QuoteOriginally posted by: derivababy The greatest lesson in life is to know that even fools are right sometimes.Sir Winston Churchill (1874 - 1965) He probably borrowed it from Voltaire:Un astrologue ne saurait avoir le privilège de se tromper toujours.