Fxd Rate


Key Fxd Rate in
Inflation Swap refers to the predefined constant rate used in calculating the cash flows of the fixed leg or the inflation leg in the case where Swap Type = Adjusted Rate
The entry
Swap Type determines whether the swap represents a Zero Inflation Swap a Year-On-Year Inflation Swap or a Inflation Adjusted Rate Swap.
Look up the descriptions of these swaps for the mathematical definition of the cash flows with respect to the rate here.
In the case
Swap Type = Zero Coupon the rate here is always applied with annual recompounding frequency.
The coupon denomination currency is assumed to be the one associated with the inflation index.