LPI swaps with a smile

LPI swaps with a smile

Inflation rate

Limited Price Index (LPI) swaps are zero-coupon inflation swaps on capped and floored year-on-year (YoY) rates. They are particularly liquid on the UK market, where some pension plans are linked to this index. The floor is typically at 0% and the caps can be 3%, 5% or +∞. They are quoted as a spread over the inflation-linked zero-coupon rates.

LPI swaps with a smile

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 copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: