The YoY Inflation Price Surface displays the year-over-year inflation price surface for caps and floors and for caplets and floorlets.
For the selected currency and index across the different expiries it displays the following:
Forward rate
For caps/floors, this is the implied inflation rate for that tenor.
For caplets/floorlets, this is the annual implied inflation rate for that period. For example, for the 5Y expiry, it is the annual implied inflation rate for the 5th year from the trade date.
ATM straddle price
This is the price of an ATM straddle strategy displayed as a % of the notional.
Cap & floor prices
The cap and floor price is displayed as a % of notional for each defined absolute strike at that expiry.
The YoY Inflation Price Surface is accessed by:
Clicking the Vol/Price Surfaces tab > Inflation tab on the left-hand menu.
On the ribbon bar in the Trader tab or the Market Data tab clicking the Vol/Price Surfaces button and then Inflation.
From the Open button > Vol/Price Surfaces > Inflation.
The following topics are covered:
Fields & Buttons in the YoY Inflation Price Surface
What Can be Done in the YoY Inflation Price Surface?