Inflation Derivatives — parameters

Below is the complete list of the functions’ parameters.

BCPI
Description:	The CPI level at the inception of the deal.
Instruments:	Inflation derivatives.

CFrP
Description:	The frequency of coupons in the pay leg of the swap. (Annual, SemiAnnual, Quarterly, Monthly)
Instruments:	RRS.

CFrR
Description:	The frequency of coupons in the receive leg of the swap. (Annual, SemiAnnual, Quarterly, Monthly)
Instruments:	RRS.

Comp
Description:	The compounding basis of the interest rates. (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
Instruments:	All Instruments: in this section.

CPICurveDates
Description:	The array of dates in the expected CPI curve.
Instruments:	All Instruments: in this section.

CPICurveRates
Description:	The array of rates in the expected CPI curve.
Instruments:	All Instruments: in this section.

CurP
Description:	This parameter indicates whether the currency of the pay leg is base or counter. (Base, Counter)
Instruments:	RRS.

Days
Description:	The time basis of the interest rate curves. (act/360, act/365, act/act, 30E/360, 30I/36)
Instruments:	RRS.

DaysP
Description:	The time basis in the pay leg of the swap. (act/360, act/365, act/act, 30E/360, 30I/36)
Instruments:	RRS.

DaysR
Description:	The time basis in the receive leg of the swap. (act/360, act/365, act/act, 30E/360, 30I/36)
Instruments:	RRS.

DCurveDatesP
Description:	The array of dates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
Instruments:	RRS.

DCurveDatesR
Description:	The array of dates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
Instruments:	RRS.

DCurveRatesP
Description:	The array of rates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
Instruments:	RRS.

DCurveRatesR
Description:	The array of rates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
Instruments:	RRS.

DR
Description:	The date rolling method. Non-business days are Saturdays and Sundays, holidays are not supported. (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
Instruments:	All Instruments: in this section.

EDate
Description:	The expiry date.
Instruments:	All Instruments: in this section, except swaptions.

EfDateP
Description:	The original effective date in the pay leg of the swap.
Instruments:	RRS.

EfDateR
Description:	The original effective date in the receive leg of the swap.
Instruments:	RRS.

FCurveDatesP
Description:	The array of dates in the interest rate curve used for calculating forward rates, in the pay leg of the swap.
Instruments:	RRS.

FCurveDatesR
Description:	The array of dates in the interest rate curve used for calculating forward rates, in the receive leg of the swap.
Instruments:	RRS.

FCurveRates
Description:	The array of rates in the interest rate curve used in calculating forward rates.
Instruments:	RRS.

FCurveRatesP
Description:	The array of rates in the interest rate curve used for calculating forward rates, in the pay leg of the swap.
Instruments:	RRS.

FCurveRatesR
Description:	The array of rates in the interest rate curve used for calculating forward rates, in the receive leg of the swap.
Instruments:	RRS.

Interp
Description:	The interpolation method. (Linear, LogLinear, CubicSpline, Exponential)
Instruments:	All Instruments: in this section.

LagT
Description:	The difference in months between the month of the target date and the last month included in the latest CPI. If the target date is March 18, and the last CPI reflects inflation including February, this argument equals 1. However, if the target date is March 5 and the last CPI reflects inflation including January, this argument equals 2.
Instruments:	All Instruments: in this section.

LagV
Description:	The difference in months between the month of the value date and the last month included in the latest CPI. If the value date is March 18, and the last CPI reflects inflation including February, this argument equals 1. However, if the value date is March 5 and the last CPI reflects inflation including January, this argument equals 2.
Instruments:	All Instruments: in this section.

LRP
Description:	The last reset rate of the reference interest rate in the pay leg of the swap.
Instruments:	RRS.

LRR
Description:	The last reset rate of the reference interest rate in the receive leg of the swap.
Instruments:	RRS.

NE
Description:	This parameter indicates whether the notional amount is being exchanged at the expiry. (Yes, No)
Instruments:	RRS.

NotP
Description:	The notional amount in the pay leg of the swap.
Instruments:	RRS.

Notional
Description:	The notional amount.
Instruments:	RRS.

NotR
Description:	The notional amount in the receive leg of the swap.
Instruments:	RRS.

OT (1)
Description:	The output type of the value/risk. (Total, PayLeg, ReceiveLeg)
Instruments:	RRS.

RateP
Description:	The fixed rate in the pay leg of the swap.
Instruments:	RRS.

RateR
Description:	The fixed rate in the receive leg of the swap.
Instruments:	RRS.

RM (1)
Description:	The risk measure type. (DV01, MacaulayDuration, ModifiedDuration)
Instruments:	RRS.

S
Description:	The FX spot rate.
Instruments:	RRS.

SDate
Description:	The spot date (usually 2 business days after the value date)
Instruments:	All Instruments: in this section.

Season
Description:	An array of 12 numbers, each of which represents the difference between the average monthly inflation rate and the inflation rate in the specific month.
Instruments:	Inflation derivatives.

SpP
Description:	The spread (in basis points) in the pay leg of the swap.
Instruments:	RRS.

SpR
Description:	The spread (in basis points) in the receive leg of the swap.
Instruments:	RRS.

VDate
Description:	The value date.
Instruments:	All Instruments: in this section.