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Joshua2004
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Posts: 100
Joined: September 16th, 2004, 5:41 pm

inflation swap acc convension

December 22nd, 2010, 5:50 pm

a simple inflation swap convension question: if my inflaiton leg index is monthly interpolated, for example UK. how does people ususally calculate the accrual. do they still use the monthly convension? which means the accrual will not change within a monthly and then have a jump 1st day of next month. or the accraul calcuation always use daily interpolaiton? Thanks
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

inflation swap acc convension

December 23rd, 2010, 6:13 pm

It jumps, I think.
 
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prodiptag
Posts: 124
Joined: September 12th, 2008, 4:41 pm

inflation swap acc convension

December 23rd, 2010, 6:17 pm

it does
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