The Excel Derivatives Periscope



Inflation Bond is a child type of Bond that represents a specialization where each coupon is linked to a defined Inflation Index.
The restriction applies that the Inflation Index must have Inflation Index::Quote Type = Relative
The exact linkage is the same as the one that applies to the inflation-linked cash flows of a
Inflation Adjusted Rate Swap.
If there is only one accrual period in the defined
Key Bond::Accrual Schedule, then it represents a zero bond returning an inflated notional, such as the inflation leg in a Zero Inflation Swap.
Look up the information in the key above for details on how to set up such a date schedule.