Trading the range
The inflation-linked structured note market may not show the dynamism of its equity, rates or commodity-linked cousins, but with liquidity in the inflation options market increasing and modelling sophistication on the increase, innovation is creeping in. By John Ferry
The structured products market often seems to innovate at breakneck speed. When banks managed to convince European retail investors to buy simple principal-protected equity-linked notes in the 1990s, it did not take long for basket products, path-dependent payouts and all manner of exotic option combinations to start appearing in the market.
Similarly, when investors first started taking an interest in plain vanilla inflation-linked notes a few years ago, it may have seemed that the inflation
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