# Zero-Coupon Inflation-Indexed Swap

Jump to navigation
Jump to search

This article does not cite any sources. (December 2015) (Learn how and when to remove this template message) |

Financial markets |
---|

Bond market |

Stock market |

Other markets |

Over-the-counter (off-exchange) |

Trading |

Related areas |

The **Zero-Coupon Inflation Swap** (**ZCIS**) is a standard derivative product which payoff depends on the Inflation rate realized over a given period of time. The underlying asset is a single Consumer price index (**CPI**).

It is called *Zero-Coupon* because there is only one cash flow at the maturity of the swap, without any intermediate coupon.

It is called *Swap* because at maturity date, one counterparty pays a fixed amount to the other in exchange for a floating amount (in this case linked to inflation). The final cash flow will therefore consist of the difference between the fixed amount and the value of the floating amount at expiry of the swap.

## Detailed Flows[edit]

- At time = M years
- 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**is the start date****is the maturity date (end of the swap)****is the inflation consumer price index at start date (time )****is the inflation consumer price index at maturity date (time )**

## See also[edit]

This website is a mirror of Wikipedia, and is not affiliated with the Wikimedia Foundation.