
Reducing approximation errors in LPI swaps
Reducing approximation errors in LPI swaps
A limited price index (LPI) is a UK inflation index used to define typical payout structures of UK pension plans. By definition, LPIs have annual returns that are equal to the corresponding annual UK inflation rates capped at y and floored at x, for some strikes x and y. The most common values for x and y are 0% and 5%, respectively.
Click on the link below to read the full version of this article.
Reducing approximation errors in LPI swaps
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Inflation derivatives
Regulation
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Receive this by email