A daily fixing for the inflation swaps market
Societe Generale believes that the market is now ripe for daily inflation swaps fixing. This article reviews several formats for a fixing to quantify who would be the best candidate
The eurozone inflation derivatives market has dramatically matured over the past five years as banks have actively been replicating many innovations from the interest rate derivatives world into the inflation derivatives world. The year of inflation-rate hybrids was 2006, while 2007 saw the arrival of inflation range-accrual products, despite the lack of liquid options and short-term futures markets that would allow banks to manage associated risks.
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