Impact of Seasonality in Inflation Derivatives Pricing
CDC Ixis Quantitative Research Working Paper No. QRFI 08-04/2
6 Pages Posted: 1 Sep 2004
Date Written: August 2004
With the growing competition on the inflation derivatives market and the resulting tightening of trading margins, it has become crucial to include seasonality in inflation models. In this paper, after reviewing how to estimate seasonality component on CPI data, we examine its impact on the pricing of various inflation linked derivatives.
Keywords: Inflation, seasonality, decomposition scheme, trend
JEL Classification: G12, G31, M21
Suggested Citation: Suggested Citation