Inflation Derivatives

37 white papers and resources

Inflation Derivatives white papers, analyst reports and legal briefings available at An inflation derivative is similar to a currency derivative in that is an agreement between two parties to trade derivatives such as swaps that are used to alleviate the effects of inflation risk in the future.

Recovering Greeks from sensitivities

This quantitative paper presents a model-independent method for calculating delta, vega and rho based on a comparison of the sensitivities of any derivative payoff with those of its underlying observables. This allows for generic definitions for these Greeks with an intuitive geometric…

The case for modularity and interoperability

This report, produced by WatersTechnology and Broadridge, investigates the extent to which firms have optimized their entire trade lifecycles, the structure, challenges and interoperability of their front-office systems, and what they most value when looking to partner with a third-party trading…