Inflation Derivatives — functions

Zero Coupon Inflation Swap (pay nominal – receive inflation)

222. GIA_IND_ZCSwapNominalInflation_Price

(EfDate, EDate, DR, DaysP, BCPI, DaysR, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp)

Returns the interest rate in the nominal leg of a zero coupon inflation swap in which the pay leg is nominal and the receive leg is inflation linked, whose value is zero.

223. GIA_IND_ZCSwapNominalInflation_Value

(Notional, EfDate, EDate, DR, RateP, DaysP, BCPI, DaysR, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, NE, Comp, Days, Interp, OT)

Returns the value of a zero coupon inflation swap in which the pay leg is nominal and the receive leg is inflation linked.

224. GIA_IND_ZCSwapNominalInflation_Risk

(Notional, EfDate, EDate, DR, RateP, DaysP, BCPI, DaysR, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, NE, Comp, Days, Interp, OT)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a zero coupon inflation swap in which the pay leg is nominal and the receive leg is inflation linked.

Zero Coupon Inflation Swap (pay inflation – receive nominal)

225. GIA_IND_ZCSwapInflationNominal_Price

(EfDate, EDate, DR, DaysP, BCPI, DaysR, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp)

Returns the interest rate in the nominal leg of a zero coupon inflation swap in which the pay leg is inflation linked and the receive leg is nominal, whose value is zero.

226. GIA_IND_ZCSwapInflationNominal_Value

(Notional, EfDate, EDate, DR, BCPI, DaysP, RateR, DaysR, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, NE, Comp, Days, Interp, OT)

Returns the value of a zero coupon inflation swap in which the pay leg is inflation linked and the receive leg is nominal.

227. GIA_IND_ZCSwapInflationNominal_Risk

(Notional, EfDate, EDate, DR, BCPI, DaysP, RateR, DaysR, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, NE, Comp, Days, Interp, OT)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a zero coupon inflation swap in which the pay leg is inflation linked and the receive leg is nominal.

Real Rate Swap – RRS (pay nominal fixed, receive inflation fixed)

228. GIA_IND_RRSNominalFixedInflationFixed_Value

(EDate, NE, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, BCPI, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a real rate inflation swap in which the pay leg is nominal with fixed interest rate and the receive leg is inflation with fixed interest rate.

229. GIA_IND_RRSNominalFixedInflationFixed_Risk

(EDate, NE, DR, NotP, RateP, EfDateP, CFrP, DaysP, NotR, BCPI, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, NE, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a real rate inflation swap in which the pay leg is nominal with fixed interest rate and the receive leg is inflation with fixed interest rate.

Real Rate Swap – RRS (pay inflation fixed, receive nominal fixed)

230. GIA_IND_RRSInflationFixedNominalFixed_Value

(EDate, NE, DR, NotP, BCPI, RateP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a real rate inflation swap in which the pay leg is inflation with fixed interest rate and the receive leg is nominal with fixed interest rate.

231. GIA_IND_RRSInflationFixedNominalFixed_Risk

(EDate, NE, DR, NotP, BCPI, RateP, EfDateP, CFrP, DaysP, NotR, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a real rate inflation swap in which the pay leg is inflation with fixed interest rate and the receive leg is nominal with fixed interest rate.

Real Rate Swap – RRS (pay nominal floating, receive inflation fixed)

232. GIA_IND_RRSNominalFloatInflationFixed_Value

(EDate, NE, DR, NotP, Sp, LR, EfDateP, CFrP, DaysP, NotR, BCPI, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp, CurP, OT, OC)

Returns the value of a real rate inflation swap in which the pay leg is nominal with floating interest rate and the receive leg is inflation with fixed interest rate.

233. GIA_IND_RRSNominalFloatInflationFixed_Risk

(EDate, NE, DR, NotP, Sp, LR, EfDateP, CFrP, DaysP, NotR, BCPI, RateR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, FCurveDatesP, FCurveRatesP, DCurveDatesR, DCurveRatesR CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a real rate inflation swap in which the pay leg is nominal with floatinl interest rate and the receive leg is inflation with fixed interest rate.

234. GIA_IND_RRSNominalFloatInflationFixed_LastResetDate

(EDate, EfDateN, CFrN, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg of a real rate inflation swap in which the pay leg is nominal with floating interest rate and the receive leg is inflation with fixed interest rate.

Real Rate Swap – RRS (pay inflation fixed, receive nominal floating)

235. GIA_IND_RRSInflationFixedNominalFloat_Value

(EDate, NE, DR, NotP, BCPI, RateP, EfDateP, CFrP, DaysP, NotR, Sp, LR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp, CurP, OT OC)

Returns the value of a real rate inflation swap in which the pay leg is inflation with fixed interest rate and the receive leg is nominal with floating interest rate.

236. GIA_IND_RRSInflationFixedNominalFloat_Risk

(EDate, NE, DR, NotP, BCPI, RateP, EfDateP, CFrP, DaysP, NotR, Sp, LR, EfDateR, CFrR, DaysR, S, DCurveDatesP, DCurveRatesP, DCurveDatesR, DCurveRatesR, FCurveDatesR, FCurveRatesR, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp, CurP, RM, OT, OC)

Returns the risk measures (DV01, MacaulayDuration, ModifiedDuration) of a real rate inflation swap in which the pay leg is inflation with fixed interest rate and the receive leg is nominal with floating interest rate.

237. GIA_IND_RRSInflationFixedNominalFloat_LastResetDate

(EDate, EfDateN, CFrN, DR, VDate)

Returns the last reset date of the reference interest rate in the floating leg of a real rate inflation swap in which the pay leg is inflation with fixed interest rate and the receive leg is nominal with floating interest rate.

Additional Functions

238. GIA_IND_InflationLeg_AverageDiscountingInterestRate

(EDate, DR, BCPI, RateI, EfDateI, CFrI, DaysI, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp)

Returns the average interest rate implied in the interest rate curve used for discounting cash flows in the inflation leg of the swap. Using this discounting interest rate leads to the same present value as one which is calculated using the interest rate curve.