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Quantitative Finance · Begrippenlijst

Wat is Year-on-year inflation swap?

Definition 11.2 Rates, Credit, XVA and Risk · Hoofdstuk 11 — Inflation Derivatives

A year-on-year inflation swap exchanges, each year ii, the index’s annual change I(Ti)/I(Ti−1)−1I(T_i)/I(T_{i-1})-1 against a fixed rate, on a notional that does not grow with the index.

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