## Zero Inflation Swap

The

**is a financial contract where one party - the inflation receiver - pays a single fixed rate coupon**

*Zero Inflation Swap***at maturity**

*Fxd***and receives a single floating payment**

*T***linked to a specific inflation index from the other party - the inflation payer.**

*Flt*It corresponds to the Deriscope Type Inflation Swap with the setting Swap Type = Zero Coupon

Formally, assuming the maturity

**can be expressed as**

*T***number of years from the swap inception**

*L(T-T₀)***, then:**

*T₀*

*Fxd = N[(1+r/f)ᴸ⁽ᵀ⁻ᵀᵒ⁾ᶠ - 1]*where

**is the swap notional,**

*N***is the recompounding frequency of the fixed rate**

*f***and**

*r*

*Flt = N[I(T-lag)/I(T₀-lag) - 1]*where

**is the value of the referenced raw inflation index that applies at time**

*I(t)***, but generally published after**

*t***with some index-specific publication delay**

*t*

*Δt***is a contractually specified time lag that must not be less than**

*lag*

*Δt*Note the QuantLib implementation assumes

*f = 1*Furthermore, for dates on which no directly applicable published inflation data exist, the referenced inflation index also depends on interpolation assumptions.