14.1
Inflation Hedging Swaps
PYTHON PLUGIN
Miscellaneous
Hedging
Description
Strategy 14.1: Buy/sell inflation swaps based on CPI trend acceleration vs breakeven inflation
Strategy Logic
Strategy 14.1: Inflation Hedging with Inflation Swaps.
Zero-coupon inflation swap:
Fixed leg = (1 + K)^T - 1
Floating leg = I(T)/I(0) - 1
Year-on-year inflation swap:
Fixed leg = K per year
Floating leg = I(t)/I(t-1) - 1
Signal: go long inflation (buy inflation swap / receive floating) when
CPI trend is accelerating (realized inflation exceeds breakeven).
Go short inflation when CPI trend is decelerating.
Required columns: cpi (Consumer Price Index level).
Falls back to close-based commodity proxy if CPI is unavailable.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback_short | 63 | int |
| lookback_long | 252 | int |
| breakeven_rate | 0.025 | float |
| acceleration_threshold | 0.005 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 6.0% |
| Max Drawdown Pct | 10.0% |