price_yoy_inflation_swap
Prices a year-on-year inflation swap using supplied market data, YoY index, curve, and fixings, returning valuation and cash flows for fixed versus inflation-linked legs.
Instructions
Price a year-on-year inflation swap (POST /price-year-on-year-inflation-swap).
The market must carry the YoY inflation index and a YoYInflation curve.
fixings (YoY rates) is REQUIRED for the same reason as in
price_zc_inflation_swap. Fixed and YoY legs share the preset's schedule
(annual by default); spread is added to the YoY rate.
Args:
market_data_source: where the market numbers in this call come from. user_pasted
(the user pasted or typed the numbers in this conversation), user_file (the
user attached a file/screenshot the numbers were read from), engine_example
(an engine example's pricing block, only when the user explicitly asked to run
an example), session (a market previously stored in this session, which
itself came from one of the above). There is no value for estimated, recalled or
placeholder data. If you would have to invent numbers, do not call this tool:
ask the user for the data.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| as_of | No | ||
| tenor | No | ||
| market | Yes | ||
| preset | No | EUR_HICP | |
| spread | No | ||
| fixings | Yes | ||
| notional | Yes | ||
| frequency | No | ||
| swap_type | Yes | ||
| fixed_rate | Yes | ||
| request_id | No | ||
| include_flows | No | ||
| effective_date | No | as_of | |
| inflation_curve | Yes | ||
| termination_date | No | ||
| additional_trades | No | ||
| discounting_curve | Yes | ||
| calendar_overrides | No | ||
| inflation_index_id | Yes | ||
| market_data_source | Yes | ||
| schedule_overrides | No |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
No arguments | |||