Inflation Spread (Instrument Spread) - Curve Underlying

Inflation spread is a spread over a swap's quote.

Before you begin

•

Create "Inflation" rate indices using from the Calypso Navigator.

Creating an Instrument Spread Underlying

The instrument spread can be used as a curve underlying of the Inflation Curve.

This underlying instrument allows selecting a swap, and entering a spread over the swap’s quote.

Select a currency at the bottom of the window.

Click New to create a new underlying.

Click Select Underlying to select an existing swap underlying instrument - This populates the fixed side and floating side of the underlying. You can modify the fields as needed.

Click Save to save the underlying. It is given a unique ID by the system, and is displayed in the table.

The system create quote names like "Spread.<Spread maturity>.<Rate index currency>.<Rate index name>.<Rate index tenor>/<Spread fixed side tenor>.<Rate index source>/<Swap quote name>".