An option to enter into a year-on-year “inflation-indexed” swap (YYIIS) at a prespecified date for a prespecified swap rate. In other words, this option allows the holder to enter into a contract to exchange an annuity against a series of floating payments indexed to inflation rates over future periods. At expiration date, the holder will exercise the right to enter into the underlying YYIIS if the option is in the money.
January 20, 2023