Valuing Tips bond futures with the Jarrow-Yildirim model

Treasury inflation-protected securities (Tips) were first issued in the US fixed-income market in January 1997. After almost 10 years, the market capitalisation of the Tips bond market was $306 billion, which is around 8% of the market capitalisation of the nominal treasury securities.1 Tips bonds pay a constant coupon rate that is fully adjusted for inflation, based on the consumer price index for all urban consumers (CPI-U).2 By this adjustment mechanism, Tips investors can be immunised

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: