Spread


Key Spread in
Inflation Swap refers to the predefined constant rate that is added to a quantity as described below for the purpose of calculating the respective coupon:
In the case
Swap Type = Year On Year the spread is added to the observed inflation rate.
More details at
Year-On-Year Inflation Swap
In the case
Swap Type = Adjusted Rate the spread is added to the ibor rate.
More details at
Inflation Adjusted Rate Swap
The coupon denomination currency is assumed to be the one associated with the inflation index.