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Interest Rate Inflation

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Inflation forward index levels, zero-coupons inflation swaps data and seasonality parameters for approximately 10 inflation indices. Data available for 10+ intraday snaps. Seasonality parameters are only available on a monthly basis.

Industry Domain:


Financial Markets

Publisher:


IHS Markit

Content Type:


Structured

Access/Delivery Methods:


REST, Python, S3 Proxy

Keywords

  • Interest Rates
  • IR
  • LPI
  • Inflation Index
  • UKRPI
  • Cap
  • Floor
  • 3-5
  • LPI Swap
  • LPI Spread
  • Zero Coupon Swap
  • Base Index
  • Inflation Forward index
  • ZC Swap
  • Seasonality
  • InfSwap
  • IFS
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Data Set

Dataset NameDataset DescriptionData FormatPublishing Frequency
Interest Rate Inflation Swap CurvesThe IHS Markit OTC Derivatives Data Inflation Swap Curves service publishes the Zero Coupon Inflation Swaps (ZCIS) rates which are used to build the inflation forward curve. The IHS Markit OTC Derivatives Data product covers inflation-linked zero coupons for 8 major national Indices. ZCIS are published for 11 snaps throughout the day.CSVWeekday
Interest Rate Inflation Forward CurveThe Forward Inflation curve is necessary to price Inflation derivatives. The Inflation forward curve is constructed from Zero Coupons inflation swaps, usually available for yearly tenors, combined with implied seasonality data. The IHS Markit OTC Derivatives Data service covers Inflation Forward curves for 8 major national Indices. Forward Inflation curves are published for 11 snaps throughout the day.CSVWeekday
Interest Rate Inflation LPILimited Price Index swaps are Zero Coupon Inflation swaps on capped and floored year-on-year rates, which are predominantly used in the UK market. LPI swaps offered by the IHS Markit OTC Derivatives Data service are published for the UKRPI Inflation index only. The default pairs covered in the service are (0,3), (0,5) and (0,Infinity). In the default output, the LPI is presented as a spread over the inflation-linked zero-coupon rate. LPI data are published for 11 snaps throughout the day.CSVWeekday
Interest Rate Inflation SeasonalityThe IHS Markit OTC Derivatives Data Seasonality product publishes the seasonality factors implied from a blend of broker and consensus data. Seasonality is published as 12 months factors, expressed in three different formulations to accommodate different client needs; additive, multiplicative and exponential factors. Seasonality factors are available for the all supported Inflation forward curves and it is published as a Month-End only service.CSVMonthly
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