Inflation Swap


Inflation Swap is a
direct subtype of Swap
aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa
with functions Inflation Swap Functions, keys Inflation Swap keys and example object InfSwap

TYPE INCLUSION RELATIONSHIPS

Swap

Inflation Swap

</defs>

AVAILABLE FUNCTIONS

Create

Fair Rate

</defs>

AVAILABLE CREATE FUNCTION KEYS

Base Value

Bump Infl Dates

DayCount

Direction

Fxd Calendar

Fxd Date Bump

Fxd Rate

Fxd Schedule

Growth Only

Ibor Date Bump

Ibor Fixing

Ibor Index

Ibor Schedule

Index Interp

Infl Calendar

Infl Date Bump

Infl Index

Infl Notional

Infl Schedule

Maturity

Notional

Observ Lag

Spread

Start Date

Swap Type

</defs>

TYPICAL OBJECTS OF TYPE Inflation Swap

InfSwap

</defs>

This type represents 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]