Zero Coupon Inflation Swap (pay nominal – receive inflation)

Last updated 9 November 2026

Function reference › Inflation Derivatives › Zero Coupon Inflation Swap

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

GIA_IND_ZCSwapNominalInflation_Price

Returns the interest rate in the nominal leg of a zero coupon inflation swap in which the pay leg is nominal and the receive leg is inflation linked, whose value is zero.

GIA_IND_ZCSwapNominalInflation_Price(EfDate, EDate, DR, DaysP, BCPI, DaysR, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, Comp, Days, Interp, CouponTerm)

Returns: Interest rate in the nominal leg of a zero coupon inflation swap in which the pay leg is nominal and the receive leg is inflation linked, whose value is zero

Argument	Use	Description
`EfDate`	Required	The effective date.
`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)
`DaysP`	Required	The time basis in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`BCPI`	Required	The CPI level at the inception of the deal.
`DaysR`	Required	The time basis in the receive 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)
`CouponTerm`	Required	The coupon rate periodicity (Annual, Total)

GIA_IND_ZCSwapNominalInflation_Risk

Returns the risk measures of a zero coupon inflation swap in which the pay leg is nominal and the receive leg is inflation linked.

GIA_IND_ZCSwapNominalInflation_Risk(Notional, EfDate, EDate, DR, RateP, DaysP, BCPI, DaysR, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, NE, Comp, Days, Interp, OT, RM, [StartTerm], [EndTerm])

Returns: Risk measures of a zero coupon inflation swap in which the pay leg is nominal and the receive leg is inflation linked

Argument	Use	Description
`Notional`	Required	The notional amount.
`EfDate`	Required	The effective date.
`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)
`RateP`	Required	The interest rate of the pay leg.
`DaysP`	Required	The time basis in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`BCPI`	Required	The CPI level at the inception of the deal.
`DaysR`	Required	The time basis in the receive 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.
`NE`	Required	Whether the notional amount is being exchanged at the expiry. (Yes, No)
`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)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`RM`	Required	The risk measure type (DV01, CPI01, KR01, KCPI01)
`StartTerm`	Optional	The starting term for Bucket and Key Rate measures.
`EndTerm`	Optional	The ending term for Bucket and Key Rate measures.

GIA_IND_ZCSwapNominalInflation_Value

Returns the value of a zero coupon inflation swap in which the pay leg is nominal and the receive leg is inflation linked.

GIA_IND_ZCSwapNominalInflation_Value(Notional, EfDate, EDate, DR, RateP, DaysP, BCPI, DaysR, DCurveDates, DCurveRates, CPICurveDates, CPICurveRates, Season, VDate, SDate, LagV, LagT, NE, Comp, Days, Interp, OT, CouponTerm)

Returns: Value of a zero coupon inflation swap in which the pay leg is nominal and the receive leg is inflation linked

Argument	Use	Description
`Notional`	Required	The notional amount.
`EfDate`	Required	The effective date.
`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)
`RateP`	Required	The interest rate of the pay leg.
`DaysP`	Required	The time basis in the pay leg of the swap (act/360, act/365, act/act, 30E/360, 30I/360)
`BCPI`	Required	The CPI level at the inception of the deal.
`DaysR`	Required	The time basis in the receive 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.
`NE`	Required	Whether the notional amount is being exchanged at the expiry. (Yes, No)
`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)
`OT`	Required	The output type of the value/risk. (PayLeg, ReceiveLeg, Total)
`CouponTerm`	Required	The coupon rate periodicity (Annual, Total)