Page 1 of 1

inflation swap acc convension

Posted: December 22nd, 2010, 5:50 pm
by Joshua2004
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

inflation swap acc convension

Posted: December 23rd, 2010, 6:13 pm
by Martinghoul
It jumps, I think.

inflation swap acc convension

Posted: December 23rd, 2010, 6:17 pm
by prodiptag
it does