Inflation Breakeven Analysis Volition Belike Live On My Adjacent Book

I am at ane time inwards the lastly stages of formatting An Introduction to SFC Models Using Python. I volition discover both the electronic together with paperback editions simultaneously ane time I run into that the printed proof is inwards expert shape. (At the fourth dimension of writing, the electronic majority edition has some formatting issues that should live resolved past times the fourth dimension I have the printed proof). Although I conduct maintain another projects outstanding, I await to plough to a written report on index-linked bonds, amongst the working championship Inflation Breakeven Analysis.

My before books were aimed at somewhat full general audience amongst an involvement inwards economics, spell these later on ones conduct maintain a to a greater extent than specialised audience. The Python majority is aimed at readers amongst an involvement inwards implementing stock-flow consistent models. The inflation breakeven analysis majority is going to live aimed at fiscal marketplace position participants together with economists amongst an involvement inwards inflation-linked bonds (and the implied inflation breakeven rate). (Link to primer on the breakeven inflation rate.) Although the majority volition soundless mainly live a primer, it volition non shy away from some of the technical issues (and equations) that arise.

I promise to encompass 2 audiences amongst the breakeven analysis book:

1. Financial marketplace position participants who are familiar amongst the bond market, only less familiar amongst index-linked bond mechanics.
2. Economists who desire to empathise the human relationship betwixt marketplace position player inflation forecasts together with inflation breakevens.

I volition live extending my SimplePricer Python packet (https://github.com/brianr747/SimplePricers), soundless I volition non live doing whatever intelligence of Python coding inwards the book; the reader tin figure out how to run the code if they wish. The SimplePricer packet tin exhibit how the principles of the pricing involved, without wasting spectacular amounts of fourth dimension worrying almost archaic fixed income quote conventions. 

Readers amongst questions or information almost the inflation-linked marketplace position are welcome to contact me. I would live peculiarly interested inwards a sample yield crimp information that I could role inwards calculations, without having to pay for information licensing fees (without breaking whatever licensing agreements).

Projected Contents

• What is breakeven inflation? Primer chapter which covers principal points (in illustration readers quit after ane chapter).
• Market overview: major developed markets.
• Inflation-Linked Bond Mechanics.
• Inflation swaps. (Might live merged amongst the previous...)
• Yield crimp calculations.
• What create nosotros know almost inflation? Covers known facts almost the CPI, peradventure debunking some "facts" pushed past times diverse economical schools.
• The ugly reality of the indexation calculations (seasonality, etc.).
• Simple breakeven versus truthful economical breakeven.
• How are index-linked bonds priced? Relative value analysis together with factors.
• Breakeven inflation versus marketplace position forecasts of inflation.
• Investing strategies. (Since I am non lawyered up, non certain almost this chapter.) Since this is a majority that I aim to sell on a multi-year horizon, I would non waste materials fourth dimension discussing the electrical current Earth of the market. I could peradventure hash out how my thinking evolved during my career.
• Policy considerations (Not certain almost this part.)
• Appendix: Bond pricing basics, together with the SimplePricers package. 

Fans of economical theory would mainly live interested inwards my intelligence of inflation forecasts versus breakeven inflation. The intelligence of inflation is supposed to live non-controversial, although I may target some urban myths that conduct maintain sprung upwardly roughly "inflation" inwards my "What create nosotros know almost inflation?" chapter. I volition non create to pose inwards a intelligence of what determines the charge per unit of measurement of inflation; that would live a later on report.

The contents volition in all likelihood exhibit upwardly every bit draft primer articles over the coming months. I conduct maintain some existing primers. only I would in all likelihood require to beef them up.

What About sfc_models?

I conduct maintain to create clean upwardly another projects (hi Alex!), together with I intend it would accept considerable fourth dimension to follow upwardly a majority on SFC models. I require to create diverse work organisation wheel models, which volition accept time. I would rather write this breakeven inflation majority -- which should live the easiest majority for me to write -- together with piece of cake create upwardly a laid of models that could live used on my adjacent SFC models book.





(c) Brian Romanchuk 2017