Derivatives
Spread DV01
July 1, 2020
Derivatives
Zero-Coupon Swap
July 1, 2020

An inflation-indexed swap which has both cash flow legs paying out on maturity. This swap is based on an exchange of the total return on an inflation index for a compound fixed breakeven rate. It allows investors to hedge away a breakeven exposure to inflation rate.

This swap is also known as a zero-coupon swap, a zero-coupon inflation swap, or a breakeven inflation swap.

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