Inflation curves or Consumer Price Index (CPI) curves are the term structures of CPI rates at different maturities. They are essential for pricing inflation securities and derivatives.
The most popular inflation products are inflation linked bonds, zero coupon inflation swaps, inflation swaps, and inflation caps/floors.
Unfortunately forward CPI rates are not market observable. But they can be derived/implied from inflation instruments.
FinPricing bootstraps inflation curve from a number of inflation instruments that are the most liquid inflation products at certain maturities.
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Graph and download economic data for Inflation, consumer prices for the United States (FPCPITOTLZGUSA) from 1960 to 2024 about consumer, CPI, inflation, price index, indexes, price, and USA.
Open Government Licence 3.0http://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/
License information was derived automatically
Measures of monthly UK inflation data including CPIH, CPI and RPI. These tables complement the consumer price inflation time series dataset.
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Inflation curves or Consumer Price Index (CPI) curves are the term structures of CPI rates at different maturities. They are essential for pricing inflation securities and derivatives.
The most popular inflation products are inflation linked bonds, zero coupon inflation swaps, inflation swaps, and inflation caps/floors.
Unfortunately forward CPI rates are not market observable. But they can be derived/implied from inflation instruments.
FinPricing bootstraps inflation curve from a number of inflation instruments that are the most liquid inflation products at certain maturities.