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

Last updated 9 November 2026

Function reference › Inflation Derivatives › Real Rate Swap

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

GIA_IND_RRSAmortInflationFixedNominalFloat_Risk

Returns the risk measures (DV01, CPI01, KR01, KCPI01, Macaulay Duration, Modified Duration, Icoupon01) of a real rate inflation swap with an amortizing schedule in which the pay leg is inflation linked with fixed interest rate and the receive leg is nominal with floating interest rate.

GIA_IND_RRSAmortInflationFixedNominalFloat_Risk(EDate, NE0, NE1, FPPD, FrPP, PPP, DR, NotP, BCPI, RateP, EfDateP, CFrP, DaysP, NotR, Sp, LR, EfDateR, CFrR, DaysR, S, DDatesP, DRatesP, DDatesR, DRatesR, FDatesR, FRatesR, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp, CurP, RM, OT, OC, [StartTerm], [EndTerm])

Returns: Risk measures (DV01, CPI01, KR01, KCPI01, Macaulay Duration, Modified Duration, Icoupon01) of a real rate inflation swap with an amortizing schedule in which the pay leg is inflation linked with fixed interest rate and the receive leg is nominal with floating interest rate

Argument	Use	Description
`EDate`	Required	The expiry date.
`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)
`FPPD`	Required	The first date of the principal payment.
`FrPP`	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)
`NotP`	Required	The notional amount in the pay leg of the swap.
`BCPI`	Required	The CPI level at the inception of the deal.
`RateP`	Required	The interest rate of the pay leg.
`EfDateP`	Required	The original effective date in the pay leg.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`NotR`	Required	The notional amount in the receive leg of the swap.
`Sp`	Required	The spread (in basis points) in the receive leg of the swap.
`LR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`S`	Required	The FX spot rate.
`DDatesP`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
`DRatesP`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
`DDatesR`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
`DRatesR`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
`FDatesR`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive lag of the swap.
`FRatesR`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive lag of the swap.
`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)
`CurP`	Required	Whether the currency of the pay leg is base or counter (Base, Counter)
`RM`	Required	The risk measure type (DV01, MacaulayDuration, ModifiedDuration, CPI01, KR01, KCPI01)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg)
`OC`	Required	The currency in which the DV01 of the swap is expressed (InBaseCurrency, InCounterCurrency, InOwnCurrency)
`StartTerm`	Optional	The starting term for Bucket and Key Rate measures.
`EndTerm`	Optional	The ending term for Bucket and Key Rate measures.

GIA_IND_RRSAmortInflationFixedNominalFloat_Value

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

GIA_IND_RRSAmortInflationFixedNominalFloat_Value(EDate, NE0, NE1, FPPD, FrPP, PPP, 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: Value of a real rate inflation swap with an amortizing schedule in which the pay leg is inflation linked with fixed interest rate and the receive leg is nominal with floating interest rate

Argument	Use	Description
`EDate`	Required	The expiry date.
`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)
`FPPD`	Required	The first date of the principal payment.
`FrPP`	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)
`NotP`	Required	The notional amount in the pay leg of the swap.
`BCPI`	Required	The CPI level at the inception of the deal.
`RateP`	Required	The interest rate of the pay leg.
`EfDateP`	Required	The original effective date in the pay leg.
`CFrP`	Required	The frequency of coupons in the pay leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysP`	Required	The time basis in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`NotR`	Required	The notional amount in the receive leg of the swap.
`Sp`	Required	The spread (in basis points) in the receive leg of the swap.
`LR`	Required	The last reset rate of the reference interest rate in the receive leg of the swap.
`EfDateR`	Required	The original effective date in the receive leg.
`CFrR`	Required	The frequency of coupons in the receive leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DaysR`	Required	The time basis in the receive leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`S`	Required	The FX spot rate.
`DCurveDatesP`	Required	The array of dates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
`DCurveRatesP`	Required	The array of rates in the interest rate curve used for discounting cash flows in the pay leg of the swap.
`DCurveDatesR`	Required	The array of dates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
`DCurveRatesR`	Required	The array of rates in the interest rate curve used for discounting cash flows in the receive leg of the swap.
`FCurveDatesR`	Required	The array of dates in the interest rate curve used for calculating forward interest rates in the receive lag of the swap.
`FCurveRatesR`	Required	The array of rates in the interest rate curve used for calculating forward interest rates in the receive lag of the swap.
`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)
`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 of the swap is expressed (InBaseCurrency, InCounterCurrency, InOwnCurrency)