Page 25 - CCFA Journal - Tenth Issue

加中金融 风险管理 Risk Management
加中金融

Inflation Convexity Adjustments

通膨指数的凸性修正

【作者】Ti Wang, RBC Capital Markets 王体，加拿大皇家银行 ， assisted by ChatGPT™

作者感谢吴平先生的审阅

Disclaimer. The views, thoughts, and opinions expressed in the text belong solely to the author, and not necessarily to the author's employer,
organization, committee or other group or individual.

【免责声明】本文中表达的观点、想法和意见仅代表作者个人观点，不一定代表作者的雇主、组织、委员会或其他团体或个人的观点。

Introduction

This note is a brief introduction to inflation index convexity adjustments. This is also our first experimental use of ChatGPT™ to
generate some description contents.

The convexity adjustment is an important factor in determining the value of an inflation-indexed swap. This adjustment is necessary
to account for the fact that the inflation rate is not a perfectly traded asset and that the expected inflation rate may not match the
realized inflation rate.

One commonly used method to estimate the convexity adjustment is the market-implied approach. This method involves observing
the market prices of inflation-indexed swaps and other inflation-linked instruments and deriving the convexity adjustment by
comparing these prices to the prices generated by a theoretical model.

Another approach is the model-based approach, which involves using a mathematical model to estimate the convexity adjustment.
This could be a statistical model, such as a time series model, or a financial model, such as a term structure model. The choice of
model will depend on the specific requirements of the user and the available data.

In either case, the convexity adjustment should be estimated in a way that is consistent with the underlying assumptions of the
inflation term structure model. This will ensure that the model generates accurate prices for inflation-indexed swaps and other
inflation-linked instruments.

简介

这篇笔记是关于通膨指数凸性调整的简要介绍。这也是我们首次试用 ChatGPT™生成描述性内容。

凸性修正是确定通膨指数互换价值的重要因素。因为通膨率不是一种完美交易的资产，预期通膨率可能与实际通膨率不匹
配，所以凸性修正是必须的。

常用的估计调整凸性的方法是市场法。该方法涉及观察通膨指数互换和其他通膨链接工具的市场价格，并通过将这些价格
与理论模型生成的价格进行比较来导出调整凸性。

另一种方法是基于模型的方法，它涉及使用数学模型来估计调整凸性。这可以是一个统计模型，例如时间序列模型，或者
是一个金融模型，例如期限结构模型。模型的选择将取决于用户的具体要求和可用数据。

无论哪种情况，调整凸性都应该以与通膨期限结构模型的基本假设一致的方式进行估计。这将确保模型生成通膨指数互换
和其他通膨链接工具的准确价格。

CCFA JOURNAL OF FINANCE March 2023
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