Inflation swap

An inflation swap is the linear form of an inflation derivative, an over-the-counter and exchange-traded derivatives that is used to transfer inflation risk from one counterparty to another.

Limited price inflation (LPI) swaps are inflation swaps which are capped and floored between 0% and 5%.

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Inflation swaps can be indexed to the inflation bond or the inflation index.

Terms	Credit spread Debit spread Exercise Expiration Moneyness Open interest Pin risk Risk-free interest rate Strike price the Greeks Volatility

Vanilla options	Bond option Call Employee stock option Fixed income FX Option styles Put Warrants

Exotic options	Asian Barrier Binary Cliquet Commodore Compound Forward start Interest rate Lookback Mountain range Rainbow Swaption

Combinations	Collar Fence Iron butterfly Iron condor Straddle Strangle Covered call Married put Risk reversal

Spreads	Back Bear Box Bull Butterfly Calendar Diagonal Intermarket Ratio Vertical

Valuation	Binomial Black Black–Scholes model Finite difference Garman-Kohlhagen Margrabe's formula Put–call parity Simulation Trinomial Vanna–Volga pricing

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