巴黎银行-全球-宏观经济-通胀相关的债券、掉期交易及衍生品指南

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1、Pleaserefertoimportantinformation&authorsattheendofthereportTotalTotal%Linkers/2017Linker2017LinkerLinkerLinkerAverageDebtissuanceissuanceNotionalNotionalLife(Notional)(localccy,bn)(EURbn)(Localbn)(EURbn)France1821828.3312%1919Italy1341348.079%13

2、13BTPItalia66664.464%1616Germany75757.067%77Spain41416.895%1212TotalEZ4984987.4310%6666US121310338.2210%131112UK31035222.4421%1820Japan8,116617.001%159812TOTAL-1,94410.558%-2101+????????????=1+?????????∗1+???????????????????????????≈????????????−????

3、??????????????????????????≈?????????+????????????????????+???????????5.00%Breakeveninflation1+????????????=1+?????????∗1+??????????????????Realyield4.00%Nominalyield3.00%2.00%??????????????????∼????????????−?????????1.00%0.00%-1.00%051015202530>14140

4、1212010100???????????????0=100880??????????????????????=???????????????0∗660?????0440???????=??????????∗????????????????2200012345678910???????????????????????=??????????−1?????????=????−3+∗(????−2−????−3)101.50???101.00100.50100.0099.5099.00InterpolatedDRI98

5、.50FranceHICPxT98.00Jan-2016Apr-2016Jul-2016Oct-2016Feb-2017DRI03Mar17BaseDRI80(bp)OATei2020ASWvsEUR6mLiborUKTi2022ASWvsGBP6mLiborTIPS2019ASWvsUS3mLibor6040Realbondcheapening200-20Realbondrichening-40-60Jan-13Jul-13Jan-14

6、Jul-14Jan-15Jul-15Jan-16Jul-16Jan-17Jul-170.60%0.40%0.20%0.00%-0.20%-0.40%20162015201420132012-0.60%JanFebMarAprMayJunJulAugSepOctNovDec1.25%201620152014201320121.000.750.500.250.00-0.25-0.50-0.75-1.00-1.25JanFebMarAprMayJunJulAugSepOctNovDec

7、???(?,?)??????ℎ??????,?=∗???????(?′)(1+???)????(?,?)???′)????(????(?,?)???ℎ??????,?=∗????????????????????(?,?)???????InJanuaryandJuly,m/minflationwilltypicalrunlowerbecauseofsales???????ℎ?=???+????????=??0∗(1+????∗)360?

8、???????ℎ?=???+????????∗???=??0∗???∗(1+????∗)360???0????=??0∗∗1+????∗−???????(?)????36014040.0OATEI22BreakevenOATE