Complex Asset Pricer · Inflation
Zero-coupon inflation swap
Inflation growth against a fixed rate, exchanged once at maturity.
Present value · Index ratio · Cash flows
1,656.97
for a notional of 1,000,000
Cash flows at maturity
| Amount at maturity | Present value | |
|---|---|---|
| Inflation leg | 133,333.33 | 114,761.06 |
| Fixed leg | −131,408.21 | −113,104.10 |
| Net | 1,925.12 | 1,656.97 |
- Breakeven inflation rate
- 2.535%
- Index growth
- 1.13333
Model values for illustration, from fixed market data. They are not quotes.
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At maturity one side pays the growth of an inflation index over the life of the swap; the other pays the notional grown at the fixed rate.
The fixed rate at which the swap is worth nothing today is the breakeven inflation rate.
What you can change
The contract terms above. Market data, model parameters and numerical settings are fixed for this demo and shown with each result.
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