Inflation Swap


Inflation Swap is a
direct subtype of Swap with functions Inflation Swap Functions, keys Inflation Swap keys and example object InfSwap that represents a swap, whereby a fixed interest rate is exchanged for inflation-linked floating payments in regular time intervals until the swap's maturity.
An entry of type
Swap Type determines whether the swap represents a Zero Inflation Swap a Year-On-Year Inflation Swap or a Inflation Adjusted Rate Swap.

The pricing methodology is specified in
Model[Inflation Swap]