I am writing an academic paper on calibration of inflation vanilla options.
I need to generate examples for the paper. Is there anywhere I can get example data for the Inflation year-on-year options, and inflation zero-coupon options?
It doesn’t have to be recent, but hopefully within the past 2 years.
This is more of a suggestion rather than an explicit source of prices.
One way one can get expected inflation from the fixed income markets. By comparing yields of TIPS to similar maturity yields on nominal Treasury Bond/Note prices, one can back out the expected inflation.
If you develop a historical series of expected inflation, you can then calculate the volatility and use this in an appropriate options pricing model.
One caveat is that the instruments where you would use to extract the expected inflation, are most likely short term and therefore will experience reduced volatility as they approach maturity. As such, the expected volatility of expected inflation will most likely decline as well. You may be able to compensate for this by only using instruments with sufficient life. For example, to extract 1Yr expected inflation by only using TIPS and nominal bonds with 1Yr to maturity.
Of course these would model prices and not market prices and therefore may not be useful to your desire to provide a calibration mechanism.
Answered by AlRacoon on October 21, 2020
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