Inflation-Linked Delayed Payment Convexity Adjustment

This paper addresses the valuation of contracts which exhibit inflation-linked delayed payments. The origin and magnitude of the convexity valuation difference obtained through stochastic and deterministic modelling is described and explained. Results from "Convexity adjustments in inflation-linked derivatives", are reproduced. The modelling framework is simplified with consideration for market-estimable parameters, and applied to an inflation-linked cash flow stream. The Numerix CrossAsset library is used