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Barclays- Inflation Derivatives- A user guide
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Table of contents
Preface 3
Inflation swap structures 5
Inflation-linked asset swaps 10
Inflation futures 14
Inflation derivatives and seasonality 18
Forward inflation 21
Real yield derivatives and iSTRIPS 26
Inflation caps and floors 29
Non-linear inflation-linked derivatives 33
Accounting for inflation derivatives 38
The markets 41
US 42
Euro area 44
Other euro inflation markets 47
UK 49
Japan 51
Other inflation derivatives markets 52
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