Answered By: Bobray Bordelon
Last Updated: Jan 09, 2024     Views: 444

 

Currently, Bloomberg has some time series data for these. Sample tickers for caps are: USIZFA10 USIZFB9 USIZF11 USIZF21 Sample tickers for floors are: USIZCA10 USIZCB9 USIZC11 USIZC21 Bloomberg data appears to start on 4/28/09. Datastream has some time series from ICAP but implied volatility appears to be the only variable/datatype available. Ex. of mnemonics are: ICUSC1Y, ICUSC10.

Inflation derivative information is available on Bloomberg.  SWIL <go> shows the term structure of swap - implied inflation and allows for detailed analysis. 

If looking for US Zero Coupon Bonds related inflation floors and caps - the US Zero Coupon Bonds issues all have the first few characters in the ticker - USIZ  

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