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A p p e a r a n c e
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( T o p )
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P r i n t / e x p o r t
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A p p e a r a n c e
F r o m W i k i p e d i a , t h e f r e e e n c y c l o p e d i a
The Year-on-Year Inflation-Indexed Swap (YYIIS ) is a standard derivative product over Inflation rate . The underlying is a single Consumer price index (CPI ).
It is called Swap because each year there is a swap of a fixed amount against a floating amount. But in reality only a one way payment is made (fixed amount - floating amount).
Detailed flows [ edit ]
Each year, at time
T
i
{\displaystyle T_{i}}
Party B pays Party A the fixed amount
N
ϕ
i
K
{\displaystyle N{\phi _{i}}K}
Party A pays Party B the floating amount
N
ψ
i
[
I
(
T
i
)
I
(
T
i
−
1
)
−
1
]
{\displaystyle N{\psi _{i}}[{\frac {I(T_{i})}{I(T_{i-1})}}-1]}
where:
K is the contract fixed rate
N the contract nominal value
M the number of years corresponding to the deal maturity
i the number of years (0 < i <= M)
ϕ
i
{\displaystyle \phi _{i}}
is the fixed-leg year fractions for the interval [Ti−1, Ti]
ψ
i
{\displaystyle \psi _{i}}
is the floating-leg year fractions for the interval [Ti−1, Ti]
T
0
{\displaystyle T_{0}}
is the start date
T
i
{\displaystyle T_{i}}
is the time of the flow i
T
M
{\displaystyle T_{M}}
is the maturity date (end of the swap)
I
(
T
0
)
{\displaystyle I(T_{0})}
is the inflation at start date (time
T
0
{\displaystyle T_{0}}
)
I
(
T
i
)
{\displaystyle I(T_{i})}
is the inflation at time of the flow i (time
T
i
{\displaystyle T_{i}}
)
I
(
T
M
)
{\displaystyle I(T_{M})}
is the inflation at maturity date (time
T
M
{\displaystyle T_{M}}
)
See also [ edit ]
References [ edit ]
R e t r i e v e d f r o m " https://en.wikipedia.org/w/index.php?title=Year-on-Year_Inflation-Indexed_Swap&oldid=1221505829 "
C a t e g o r i e s :
● I n f l a t i o n
● D e r i v a t i v e s ( f i n a n c e )
● S w a p s ( f i n a n c e )
H i d d e n c a t e g o r i e s :
● A r t i c l e s l a c k i n g s o u r c e s f r o m D e c e m b e r 2 0 1 4
● A l l a r t i c l e s l a c k i n g s o u r c e s
● T h i s p a g e w a s l a s t e d i t e d o n 3 0 A p r i l 2 0 2 4 , a t 1 0 : 0 7 ( U T C ) .
● T e x t i s a v a i l a b l e u n d e r t h e C r e a t i v e C o m m o n s A t t r i b u t i o n - S h a r e A l i k e L i c e n s e 4 . 0 ;
a d d i t i o n a l t e r m s m a y a p p l y . B y u s i n g t h i s s i t e , y o u a g r e e t o t h e T e r m s o f U s e a n d P r i v a c y P o l i c y . W i k i p e d i a ® i s a r e g i s t e r e d t r a d e m a r k o f t h e W i k i m e d i a F o u n d a t i o n , I n c . , a n o n - p r o f i t o r g a n i z a t i o n .
● P r i v a c y p o l i c y
● A b o u t W i k i p e d i a
● D i s c l a i m e r s
● C o n t a c t W i k i p e d i a
● C o d e o f C o n d u c t
● D e v e l o p e r s
● S t a t i s t i c s
● C o o k i e s t a t e m e n t
● M o b i l e v i e w