Inflation modelling with SABR dynamics

The inflation rates quoted in the interbank derivatives market are either zero-coupon (ZC) or year-on-year (YY), and underlie ZC and YY swaps, respectively. In a ZC swap, a fixed payment, based on the annual compounding of the quoted ZC rate, is exchanged at maturity for the inflation rate corresponding to the swap application period.1 In a YY swap, instead, payments are exchanged annually, with the floating payment that is based on the just-set annual inflation rate.

ZC and YY rates do not

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here