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