Generic Functions (RRS and zero coupon inflation swaps)

Last updated 9 November 2026

Function reference › Inflation Derivatives › Additional Functions

5 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_IND_Generic_KRArray

Returns the value of an RRS or ZCSwap.

GIA_IND_Generic_KRArray(Type, EDt, FPPD, PFr, PPP, DR, TLag, NE0, NE1, CTerm, PLeg, PN, PFx, PBCPI, PFl, PSp, PEfD, PCFr, PDays, RLeg, RN, RFx, PBCPI, RFl, RSp, REfD, RCfr, RDays, PCComp, PCDays, RCComp, RCDays, PDDates, PDRates, PFDates, PFRates, RDDates, RDRates, RFDates, RFRates, Seas, VDt, SDt, Int, VLag, S, CurP, RM, OT, OC)

Returns: Value of an RRS or ZCSwap

Argument	Use	Description
`Type`	Required	The type of IND (ZC, RRSFix, RRSFloat).
`EDt`	Required	The expiry date of the IND.
`FPPD`	Required	The first date of the principal payment.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly)
`PPP`	Required	The percent of the principal in each payment.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`TLag`	Required	The difference in months between the month of the target date and the last month included in the latest CPI.
`NE0`	Required	Whether the notional amount is being exchanged at the start. (Yes, No)
`NE1`	Required	Whether the notional amount is being exchanged at expiry. (Yes, No)
`CTerm`	Required	The coupon rate periodicity (Annual, Total)
`PLeg`	Required	The type of the pay leg (Float, Fixed, Inflation).
`PN`	Required	The notional amount in the pay leg.
`PFx`	Required	The fixed rate in the pay leg.
`PBCPI`	Required	The base CPI in the pay leg.
`PFl`	Required	The type of floating interest rate in the pay leg (RFR, IBOR).
`PSp`	Required	The spread (in basis points) in the pay leg.
`PEfD`	Required	The effective date of the pay leg.
`PCFr`	Required	The coupon frequency in the pay leg.
`PDays`	Required	The time basis method in the pay leg (act/360, act/365, act/act, 30E/360, 30I/360)
`RLeg`	Required	The type of the receive leg (Float, Fixed, Inflation).
`RN`	Required	The notional amount in the receive leg.
`RFx`	Required	The fixed rate in the receive leg.
`PBCPI`	Required	The base CPI in the pay leg.
`RFl`	Required	The type of floating interest rate in the receive leg (RFR, IBOR).
`RSp`	Required	The spread (in basis points) in the receive leg.
`REfD`	Required	The effective date of the receive leg.
`RCfr`	Required	The coupon frequency in the receive leg.
`RDays`	Required	The time basis method in the receive leg (act/360, act/365, act/act, 30E/360, 30I/360)
`PCComp`	Required	The compounding in the pay leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`PCDays`	Required	The time basis method in the pay leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`RCComp`	Required	The compounding in the receive leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`RCDays`	Required	The time basis method in the receive leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`PDDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PDRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PFDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PFRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RDDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RDRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RFDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RFRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`Seas`	Required	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.
`VDt`	Required	The value date.
`SDt`	Required	The spot date.
`Int`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`VLag`	Required	The difference in months between the month of the value date and the last month included in the latest CPI.
`S`	Required	The FX spot rate.
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`RM`	Required	Which curve's KR to calculate (IR, CPI)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`OC`	Required	The currency in which the value is expressed (Base, Counter, Own)

GIA_IND_Generic_Risk

Returns the risk of an RRS or ZCSwap

GIA_IND_Generic_Risk(Type, EDt, FPPD, PFr, PPP, DR, TLag, NE0, NE1, CTerm, PLeg, PN, PFx, PBCPI, PFl, PSp, PEfD, PCFr, PDays, RLeg, RN, RFx, PBCPI, RFl, RSp, REfD, RCfr, RDays, PCComp, PCDays, RCComp, RCDays, PDDs, PDRs, PFDs, PFRs, RDDs, RDRs, RFDs, RFRs, Seas, VDt, SDt, Int, VLag, S, CurP, RM, OT, OC, Start, End, Appr)

Returns: Risk of an RRS or ZCSwap

Argument	Use	Description
`Type`	Required	The type of IND (ZC, RRSFix, RRSFloat).
`EDt`	Required	The expiry date of the IND.
`FPPD`	Required	The first date of the principal payment.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly)
`PPP`	Required	The percent of the principal in each payment.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`TLag`	Required	The difference in months between the month of the target date and the last month included in the latest CPI.
`NE0`	Required	Whether the notional amount is being exchanged at the start. (Yes, No)
`NE1`	Required	Whether the notional amount is being exchanged at expiry. (Yes, No)
`CTerm`	Required	The coupon rate periodicity (Annual, Total)
`PLeg`	Required	The type of the pay leg (Float, Fixed, Inflation).
`PN`	Required	The notional amount in the pay leg.
`PFx`	Required	The fixed rate in the pay leg.
`PBCPI`	Required	The base CPI in the pay leg.
`PFl`	Required	The type of floating interest rate in the pay leg (RFR, IBOR).
`PSp`	Required	The spread (in basis points) in the pay leg.
`PEfD`	Required	The effective date of the pay leg.
`PCFr`	Required	The coupon frequency in the pay leg.
`PDays`	Required	The time basis method in the pay leg (act/360, act/365, act/act, 30E/360, 30I/360)
`RLeg`	Required	The type of the receive leg (Float, Fixed, Inflation).
`RN`	Required	The notional amount in the receive leg.
`RFx`	Required	The fixed rate in the receive leg.
`PBCPI`	Required	The base CPI in the pay leg.
`RFl`	Required	The type of floating interest rate in the receive leg (RFR, IBOR).
`RSp`	Required	The spread (in basis points) in the receive leg.
`REfD`	Required	The effective date of the receive leg.
`RCfr`	Required	The coupon frequency in the receive leg.
`RDays`	Required	The time basis method in the receive leg (act/360, act/365, act/act, 30E/360, 30I/360)
`PCComp`	Required	The compounding in the pay leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`PCDays`	Required	The time basis method in the pay leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`RCComp`	Required	The compounding in the receive leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`RCDays`	Required	The time basis method in the receive leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`PDDs`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PDRs`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PFDs`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PFRs`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RDDs`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RDRs`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RFDs`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RFRs`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`Seas`	Required	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.
`VDt`	Required	The value date.
`SDt`	Required	The spot date.
`Int`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`VLag`	Required	The difference in months between the month of the value date and the last month included in the latest CPI.
`S`	Required	The FX spot rate.
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`RM`	Required	The risk measure type (DV01, CPI01, MacaulayDuration, ModifiedDuration, KR01, BucketDV01, KRDuration, BucketDuration, KCPI01, KCPIDuration, BucketCPI01, BucketCPIDuration)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`OC`	Required	The currency in which the value is expressed (Base, Counter, Own)
`Start`	Required	The starting term for Bucket and Key Rate measures.
`End`	Required	The ending term for Bucket and Key Rate measures.
`Appr`	Required	The OIS float leg approximation type (None, DFRatio)

GIA_IND_Generic_RiskFromRow

Returns the risk of an RRS or ZCSwap

GIA_IND_Generic_RiskFromRow(PortfolioEntry, PDDates, PDRates, PFDates, PFRates, RDDates, RDRates, RFDates, RFRates, Seas, VDt, SDt, Int, VLag, S, CurP, RM, OT, OC, Start, End, Appr)

Returns: Risk of an RRS or ZCSwap

Argument	Use	Description
`PortfolioEntry`	Required	The array of IND parameters.
`PDDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PDRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PFDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PFRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RDDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RDRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RFDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RFRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`Seas`	Required	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.
`VDt`	Required	The value date.
`SDt`	Required	The spot date.
`Int`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`VLag`	Required	The difference in months between the month of the value date and the last month included in the latest CPI.
`S`	Required	The FX spot rate.
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`RM`	Required	The risk measure type (DV01, CPI01, MacaulayDuration, ModifiedDuration, KR01, BucketDV01, KRDuration, BucketDuration, KCPI01, KCPIDuration, BucketCPI01, BucketCPIDuration)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`OC`	Required	The currency in which the value is expressed (Base, Counter, Own)
`Start`	Required	The starting term for Bucket and Key Rate measures.
`End`	Required	The ending term for Bucket and Key Rate measures.
`Appr`	Required	The OIS float leg approximation type (None, DFRatio)

GIA_IND_Generic_Value

Returns the value of an RRS or ZCSwap.

GIA_IND_Generic_Value(Type, EDt, FPPD, PFr, PPP, DR, TLag, NE0, NE1, CTerm, PLeg, PN, PFx, PBCPI, PFl, PSp, PEfD, PCFr, PDays, RLeg, RN, RFx, PBCPI, RFl, RSp, REfD, RCfr, RDays, PCComp, PCDays, RCComp, RCDays, PDDates, PDRates, PFDates, PFRates, RDDates, RDRates, RFDates, RFRates, Seas, VDt, SDt, Int, VLag, S, CurP, OT, OC)

Returns: Value of an RRS or ZCSwap

Argument	Use	Description
`Type`	Required	The type of IND (ZC, RRSFix, RRSFloat).
`EDt`	Required	The expiry date of the IND.
`FPPD`	Required	The first date of the principal payment.
`PFr`	Required	The frequency of principal payments (Annual, SemiAnnual, Quarterly, Monthly)
`PPP`	Required	The percent of the principal in each payment.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`TLag`	Required	The difference in months between the month of the target date and the last month included in the latest CPI.
`NE0`	Required	Whether the notional amount is being exchanged at the start. (Yes, No)
`NE1`	Required	Whether the notional amount is being exchanged at expiry. (Yes, No)
`CTerm`	Required	The coupon rate periodicity (Annual, Total)
`PLeg`	Required	The type of the pay leg (Float, Fixed, Inflation).
`PN`	Required	The notional amount in the pay leg.
`PFx`	Required	The fixed rate in the pay leg.
`PBCPI`	Required	The base CPI in the pay leg.
`PFl`	Required	The type of floating interest rate in the pay leg (RFR, IBOR).
`PSp`	Required	The spread (in basis points) in the pay leg.
`PEfD`	Required	The effective date of the pay leg.
`PCFr`	Required	The coupon frequency in the pay leg.
`PDays`	Required	The time basis method in the pay leg (act/360, act/365, act/act, 30E/360, 30I/360)
`RLeg`	Required	The type of the receive leg (Float, Fixed, Inflation).
`RN`	Required	The notional amount in the receive leg.
`RFx`	Required	The fixed rate in the receive leg.
`PBCPI`	Required	The base CPI in the pay leg.
`RFl`	Required	The type of floating interest rate in the receive leg (RFR, IBOR).
`RSp`	Required	The spread (in basis points) in the receive leg.
`REfD`	Required	The effective date of the receive leg.
`RCfr`	Required	The coupon frequency in the receive leg.
`RDays`	Required	The time basis method in the receive leg (act/360, act/365, act/act, 30E/360, 30I/360)
`PCComp`	Required	The compounding in the pay leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`PCDays`	Required	The time basis method in the pay leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`RCComp`	Required	The compounding in the receive leg's interest rate curves (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`RCDays`	Required	The time basis method in the receive leg's interest rate curve (act/360, act/365, act/act, 30E/360, 30I/360)
`PDDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PDRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PFDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PFRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RDDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RDRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RFDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RFRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`Seas`	Required	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.
`VDt`	Required	The value date.
`SDt`	Required	The spot date.
`Int`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`VLag`	Required	The difference in months between the month of the value date and the last month included in the latest CPI.
`S`	Required	The FX spot rate.
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`OC`	Required	The currency in which the value is expressed (Base, Counter, Own

GIA_IND_Generic_ValueFromRow

Returns the value of an RRS or ZCSwap.

GIA_IND_Generic_ValueFromRow(PortfolioEntry, PDDates, PDRates, PFDates, PFRates, RDDates, RDRates, RFDates, RFRates, Season, VDate, SDate, Int, VLag, S, CurP, OT, OC)

Returns: Value of an RRS or ZCSwap

Argument	Use	Description
`PortfolioEntry`	Required	The array of IND parameters.
`PDDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg.
`PDRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg.
`PFDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the pay leg.
`PFRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the pay leg.
`RDDates`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg.
`RDRates`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg.
`RFDates`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive leg.
`RFRates`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive leg.
`Season`	Required	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.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Int`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)
`VLag`	Required	The difference in months between the month of the value date and the last month included in the latest CPI.
`S`	Required	The FX spot rate.
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`OC`	Required	The currency in which the value is expressed (Base, Counter, Own