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Inflation Data

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Inflation Curve Sample Data

FinPricing offers the following curves for various currencies via API:

• OIS curves
• RFR (risk free rate) curves
• SOFR, €STR (ESTR, ESTER), SONIA, TONA, CORRA, AONIA, SARON curves
• IBORs (LIBOR, EURIBOR, TIBOR, CDOR, EONIA, etc.) fallback rate curves
• Swap rate curves
• Basis curves
• Spot rate or zero rate curves
• Forward rate curves
• Discount curves
• Inflation Swap rate (CPI, RPI, HICP) curves
• Nordic electricity futures curve
• VIX futures curve
• S&P 500 futures curve

Inflation curve or CPI (Consumer Price Index) curve is the term structures of forward CPI rates vs maturities. The popular indices are Euro HICPxT, UK RPI, and US CPI.

FinPricing bootstraps inflation curve from a number of inflation instruments, such as inflation linked bonds, zero-coupon inflation swaps, and inflation swaps. Those are the most liquid inflation products at certain maturities. An inflation curve sample data is shown below:

• Swap rate curves
• SOFR curves
• OIS curves
• interest rate curves
• Inflation swap rate curves
• Forward yield curves
• FX forward curve
• FX vol surface