# Year-on-Year Inflation-Indexed Swap

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The **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 *Swap* because each year there is a swap of a fixed amount against a floating amount. But in reality only a one way payment is made (fixed amount - floating amount).

## Detailed flows[edit]

- Each year, at time
- Party B pays Party A the fixed amount
- Party A pays Party B the floating amount

where:

**K**is the contract fixed rate**N**the contract nominal value**M**the number of years corresponding to the deal maturity**i**the number of years (0 < i <= M)**is the fixed-leg year fractions for the interval [Ti−1, Ti]****is the floating-leg year fractions for the interval [Ti−1, Ti]****is the start date****is the time of the flow i****is the maturity date (end of the swap)****is the inflation at start date (time )****is the inflation at time of the flow i (time )****is the inflation at maturity date (time )**

## See also[edit]

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