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  2. Year-on-year inflation-indexed swap - Wikipedia

    en.wikipedia.org/wiki/Year-on-Year_Inflation...

    A 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 a swap because each year there is a swap of a fixed amount against a floating amount, although in practice only a one way payment is made (fixed amount – floating amount).

  3. Inflation swap - Wikipedia

    en.wikipedia.org/wiki/Inflation_swap

    An inflation swap is an agreement between two counterparties to swap fixed rate payments on a notional principal amount for floating rate payments linked to an inflation index, such as the consumer price index. [1] An inflation swap is the linear form of an inflation derivative, and used to transfer inflation risk from one counterparty to another.

  4. Zero-coupon inflation swap - Wikipedia

    en.wikipedia.org/wiki/Zero-Coupon_Inflation_Swap

    The underlying asset is a single consumer price index (CPI). It is zero-coupon because there is only one cash flow at the maturity of the swap, without any intermediate coupon. It is called a swap because at maturity, one counterparty pays a fixed amount to the other in exchange for a floating amount (in this case linked to inflation). The ...

  5. Inflation derivative - Wikipedia

    en.wikipedia.org/wiki/Inflation_derivative

    Real rate swaps are the nominal interest swap rate less the corresponding inflation swap. As for modelling, the trend has been either to provide: a model describing at the same time, nominal rates, real rates and inflation and representing the inflation as the exchange rate between nominal and real rates.

  6. Inflation-indexed bond - Wikipedia

    en.wikipedia.org/wiki/Inflation-indexed_bond

    Daily inflation-indexed bonds (also known as inflation-linked bonds or colloquially as linkers) are bonds where the principal is indexed to inflation or deflation on a daily basis. They are thus designed to hedge the inflation risk of a bond. [1] The first known inflation-indexed bond was issued by the Massachusetts Bay Company in 1780. [2]

  7. Interest rate swap - Wikipedia

    en.wikipedia.org/wiki/Interest_rate_swap

    An interest rate swap's (IRS's) effective description is a derivative contract, agreed between two counterparties, which specifies the nature of an exchange of payments benchmarked against an interest rate index. The most common IRS is a fixed for floating swap, whereby one party will make payments to the other based on an initially agreed ...

  8. Overnight indexed swap - Wikipedia

    en.wikipedia.org/wiki/Overnight_indexed_swap

    An overnight indexed swap (OIS) is an interest rate swap (IRS) over some given term, e.g. 10Y, where the periodic fixed payments are tied to a given fixed rate while the periodic floating payments are tied to a floating rate calculated from a daily compounded overnight rate over the floating coupon period. Note that the OIS term is not ...

  9. Floating rate note - Wikipedia

    en.wikipedia.org/wiki/Floating_rate_note

    A deleveraged floating-rate note is one bearing a coupon that is the product of the index and a leverage factor, where the leverage factor is between zero and one. A deleveraged floater, which gives the investor decreased exposure to the underlying index, can be replicated by buying a pure FRN and entering into a swap to pay floating and ...