Inflation Curves

How BlueGamma builds zero-coupon inflation curves, including how UK CPI rates are derived.

BlueGamma provides zero-coupon (ZC) inflation swap curves for UK RPI, UK CPI, and EU HICP, with tenors from 1Y to 50Y, live and historical.

UK RPI and EU HICP curves are built directly from ZC inflation swap market quotes, discounted with the standard curve for each market (SONIA for the UK, 6M EURIBOR for the euro area).

UK CPI

UK inflation risk trades overwhelmingly in RPI, so there is no liquid CPI quote set to build from. Following market convention, UK CPI ZC rates are derived as UK RPI minus a market-implied RPI-CPI wedge.

The wedge is term-dependent: from February 2030, RPI will be calculated with the same methods and data as CPIH, so longer tenors carry a smaller wedge. Historical CPI rates use the wedge as priced at each historical date.

UK RPI rates are taken directly from the swap market and involve no wedge adjustment.