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

Last updated 9 November 2026

Function reference › Inflation Derivatives › Real Rate Swap

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

GIA_IND_RRSInflationFixedNominalFloat_LastResetDate

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.

GIA_IND_RRSInflationFixedNominalFloat_LastResetDate(EDate, EfDateN, CFrN, DR, VDate)

Returns: 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

Argument	Use	Description
`EDate`	Required	The expiry date.
`EfDateN`	Required	The original effective date in the nominal leg.
`CFrN`	Required	The frequency of coupons in the nominal leg of the swap (Annual, SemiAnnual, Quarterly, Monthly)
`DR`	Required	The date rolling method. Non-business days are Saturdays and Sundays; holidays are not supported (Following, ModifiedFollowing, Previous, ModifiedPrevious, NoAdjustment)
`VDate`	Required	The value date.

GIA_IND_RRSInflationFixedNominalFloat_Risk

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

GIA_IND_RRSInflationFixedNominalFloat_Risk(EDate, NE0, NE1, 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 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)
`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_RRSInflationFixedNominalFloat_Value

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

GIA_IND_RRSInflationFixedNominalFloat_Value(EDate, NE0, NE1, 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 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)
`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)