Inflation-Indexed Securities: Bonds, Swaps and other Derivatives Book

	List of Exhibits
	List of Figures
	List of Tables
	About the Authors
	Foreword
	Preface to the Second Edition
	Acknowledgements
	Disclaimer
	List of Abbreviations
1	What Are Inflation-indexed Securities and Derivatives?	1
2	Security Design	9
App. A2.1	Calculating the base annuity payment for Indexed Annuity Bonds (IABs)	39
App. A2.2	Barro's proposal for revising the inflation adjustment of payments on index-linked gilts	40
3	Why Invest in Indexed Debt?	43
4	Why Issue Indexed Bonds?	59
5	Inflation and Real Interest Rate Analysis	73
6	Major International Indexed Bond Markets	93
App. A6.1	Cash flow calculations for Australian Capital Indexed Bonds (CIBs)	160
App. A6.2	Cash flow calculations for Canadian Real Return Bonds (RRBs)	162
App. A6.3	Cash flow calculations for French OATi and OATCi bonds	165
App. A6.4	Cash flow calculations for Swedish index-linked Treasury bonds	168
App. A6.5	Cash flow calculations for UK Index-linked Gilts (IGs)	171
App. A6.6	Cash flow calculations for US Treasury Inflation-Indexed Securities (TIIS)	176
7	Other Indexed Bond Markets	179
App. A7.1	Calculation of the settlement price for Colombian TES-UVR bonds	227
App. A7.2	Calculation of the settlement price for Icelandic Treasury Bonds	228
App. A7.3	Calculation of real yields for Israeli inflation-indexed bonds	230
App. A7.4	Cash flow calculations for New Zealand Treasury inflation-indexed bonds	231
App. A7.5	Exchange rates	233
8	Inflation-linked Derivatives: Market Description	235
App. A8.1	Examples swap and option structures	262
9	Inflation-linked Derivatives: Pricing, Hedging and Other Technical Aspects	269
10	Conclusion	297
	References	301
	Bibliography	315
	Useful websites	317
	Index	319