price_zc_inflation_swap
Prices a zero-coupon inflation swap using user-supplied curves, inflation index, and required CPI fixings.
Instructions
Price a zero-coupon inflation swap (POST /price-zero-coupon-inflation-swap).
The market must carry the inflation index and a ZeroInflation curve
(pricing.inflation; see the inflation examples). fixings is
REQUIRED: the engine needs the CPI fixing at start minus the observation lag
(and the curve helpers need the recent history) and this server has no
market-data source; the tool sets them on the index and says so in notes.
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.
inflation_index_id: id in pricing.inflation.inflation_indices.
fixings: [{date: "2024-12-01", value: 126.16}, ...] monthly CPI levels.
swap_type: Payer pays fixed. notional, fixed_rate: decimal.
start_date: YYYY-MM-DD or as_of. maturity_date | tenor.
preset: a preset with a zc_inflation_swap block (default EUR_HICP).
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| as_of | No | ||
| tenor | No | ||
| market | Yes | ||
| preset | No | EUR_HICP | |
| fixings | Yes | ||
| notional | Yes | ||
| swap_type | Yes | ||
| fixed_rate | Yes | ||
| request_id | No | ||
| start_date | No | as_of | |
| include_flows | No | ||
| maturity_date | No | ||
| inflation_curve | Yes | ||
| additional_trades | No | ||
| discounting_curve | Yes | ||
| calendar_overrides | No | ||
| inflation_index_id | Yes | ||
| market_data_source | Yes |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
No arguments | |||