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inflationYearFraction in ZeroCouponInflationSwap

Open eltoder opened this issue 2 months ago • 0 comments

Currently ZeroCouponInflationSwap uses inflationYearFraction to compute year fraction for fixed leg's accrual. This makes some adjustments to dates and is also based on dates of the fixings. Is there some reference for this?

If I'm reading the opengamma doc (page 3) correctly, this should just be the number of years between startDate and maturity. Also, checking in Bloomberg, the number of years is rounded up to an integer.

eltoder avatar Oct 28 '25 15:10 eltoder