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Quantitative Finance · Glossaire

Qu'est-ce que « Zero-coupon inflation swap » ?

Definition 11.6 Markets II: Rates, FX and Credit · Chapitre 11 — Inflation Markets

A zero-coupon inflation swap of notional NN, maturity TT years and fixed rate KK exchanges a single net payment at maturity: the inflation receiver gets

N(I(T)I(0)−(1+K)T),N\left(\frac{I(T)}{I(0)} - (1+K)^T\right),

where I(0)I(0) and I(T)I(T) are the reference index at the start and at maturity, with the same lag as the bonds. Nothing is exchanged at the start.

Exemples

Example 11.8 (A five-year swap)

A pension fund receives inflation on USD 100 million for five years at 2.50%, with a base index of 300.00. The forward index is 300×1.0255=339.42300 \times 1.025^5 = 339.42. If the index ends at 345.00, 15% above its base, the fund receives 100×(1.15−1.0255)=USD 1.86100 \times (1.15 - 1.025^5) = \text{USD}~1.86 million; had it ended at the forward, nothing.

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