Inflation Leg

Last updated 9 November 2026

Function reference › Inflation Derivatives › Additional Functions

1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].

GIA_IND_InflationLeg_AverageDiscountingInterestRate

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

Argument	Use	Description
`EDate`	Required	The expiry date.
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`BCPI`	Required	The CPI level at the inception of the deal.
`RateI`	Required	The interest rate of the inflation leg.
`EfDateI`	Required	The original effective date in the inflation leg.
`CFrI`	Required	The frequency of coupons in the inflation leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysI`	Required	The time basis in the inflation leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`DCurveDates`	Required	The array of dates in the interest rate curve used for discounting cash flows.
`DCurveRates`	Required	The array of rates in the interest rate curve used for discounting cash flows.
`CPICurveDates`	Required	The array of dates in the expected CPI curve. The first date has to be equal to the value date.
`CPICurveRates`	Required	The array of rates in the expected CPI curve. The first rate has to be equal to the last published CPI before this date.
`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.
`LagV`	Required	The difference in months between the month of the value date and the last month included in the latest CPI. See the documentation for full description.
`LagT`	Required	The difference in months between the month of the target date and the last month included in the latest CPI. See the documentation for full description.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rates (act/360, act/365, act/act, 30E/360, 30I/360)
`Interp`	Required	The interpolation method (Linear, LogLinear, CubicSpline, Exponential)