Anyone have any recommendations on books that cover these products (Bonds, Swaptions, Options) with both breadth and depth?I have seen "Inflation-indexed Securities: Bonds, Swaps and Other Derivatives" by Deaconand"Handbook of Inflation Indexed Bonds" by FabozziAny comments on these or other recommendations?

I'm also very interested... Can anyone help?

These titles are available from the Wilmott Bookshop.Inflation-indexed Securities and Handbook of Inflation-Indexed Bonds.

There is a really good guide to just about all inflation-linked products in a glossy publication written by Jeroen Kerkhof when he was at Lehman's. I think, maybe, it was originally just a document for Lehman's and their customers but a few copies have found their way onto the internet. I found a copy here:http://www.classiccmp.org/transputer/finengineer/The document is called:Inflation derivatives explained: Markets, products and pricing.You should also look for original papers eg there have been at least (that I remember) two papers on inflation derivatives in the last year in Risk magazine. One by John Crosby in March 2007, one by Lars Kjaergaard in June 2007.Or go to www.quarchome.org (the RBS quant website). There is a document by Matthew Dodgson and Dherminder Kainth which I think was originally a presentation given at a Risk training course on inflation products.