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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. 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 ...

  4. 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.

  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. 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 ...

  8. Interest rate swap - Wikipedia

    en.wikipedia.org/wiki/Interest_rate_swap

    As OTC instruments, interest rate swaps (IRSs) can be customised in a number of ways and can be structured to meet the specific needs of the counterparties. For example: payment dates could be irregular, the notional of the swap could be amortized over time, reset dates (or fixing dates) of the floating rate could be irregular, mandatory break clauses may be inserted into the contract, etc.

  9. Harmonised Index of Consumer Prices - Wikipedia

    en.wikipedia.org/wiki/Harmonised_Index_of...

    The Harmonised Index of Consumer Prices (HICP) is an indicator of inflation and price stability for the European Central Bank (ECB). It is a consumer price index which is compiled according to a methodology that has been harmonised across EU countries. The euro area HICP is a weighted average of price indices of member states who have adopted ...