Inflation ist normal
Ausgehend von der Beobachtung, dass lognormale Markt-Caplet-Volatilitäten von weniger als 1% Normalität für Fälligkeiten von bis zu 30 Jahren implizieren, führt Chris Kenyon normalbasierte Smile-Modelle für die Inflation im Jahresvergleich ein. Weitere Ausgangspunkte seiner Arbeit sind die Spanne der notierten Basispreise (von negativ bis positiv) für Caps und Floors sowie die Tatsache, dass Preise und nicht implizite Volatilitäten notiert werden. Diese Smile-Modelle sind einfach und analytisch äußerst traktabel
Die Verfügbarkeit der Daten zum Smile der Year-on-Year-Inflation hat seit der Veröffentlichung von Cap- und Floor-Preisen Ende 2007 auf Bloomberg zugenommen ((RILO)1). Heute laufen die Ticker von Bloomberg zum Beispiel auch für 10-jährige 2,5% HICPx Caps unter EUISCA10 (Index). Die Preise werden auf RILO veröffentlicht, wobei die Basispreise je nach Basiswert2 von -1% bis 6% reichen und die theoretisch mögliche Bandbreite der Year-on-Year-Inflation (-100%, [s45]) ist. Da negative Basispreise
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