quantlib-dev

[Alexander L. <ale...@go...>]

Hello all,

I checked the source code for the ZeroCouponInflationSwap and found out,
that the fixed leg ist computed using the following formula:

nominal * ( 1 + fixedRate ) ^ T

For the inflation leg the formula was

nominal * ( I(T1) / I(T0) )

The right formulas in my opinion are:

Fixed Leg = nominal * ( 1 + fixedRate ) ^ T - 1 )
Inflation Leg = nominal * ( I(T1) / I(T0) - 1 )

This definition I saw in termsheets, papers and books.

Best

Alexander

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