The Inflation Curve displays the standard inflation index for the following currencies:
USD
This is based on USCPI.
EUR
This can be which can be based on any of the following indices—HICPxT, FRCPIxT, HICP, ITCPI, SPCPI, FRCPI, DECPI (Germany).
GBP
This is based on UKRPI.
JPY
This is based on USCPI.
AUD
This is based on AUCPI.
ILS
This is based on CPI/ILS.
This data is used by the system to price the inflation instruments1.
For each swap rate tenor displayed you see the following data which by default is supplied by SD:
Maturity date
Inflation rate
Forward index
This is the reference index expected by the market on that date. It is interpolated based on both the current reference index and the inflation rate for the given tenor.
By default, the Inflation Curve page opens with the inflation curve for the current currency (if this currency is supported for the inflation instrument; otherwise it displays USD), the current trade date and the market data cut-off set in the pricing page from which it was opened, with the swap rate tenors set by the system’s default settings for that currency. In addition, the inflation curve displayed is affected by the customize settings for the inflation instrument. To change what is displayed see Controlling What Is Displayed in the Inflation Yield Curve Page.
The Inflation Yield Curve is accessed by:
Clicking the Curves tab > Inflation Curve on the left-hand menu.
On the ribbon bar in the Trader tab, Structurer tab or the Market Data tab clicking Curves > Inflation Curve.
From the Open button > Curves > Inflation Curve.
The following topics are covered:
Fields & Buttons in the Inflation Curve Page
What Can Be Done in the Inflation Curve
Understanding the Colors Used for Rates in a Yield Curve