ch 8 building an inflation curve by optimisation.xls

7/25/2019 Ch 8 Building an inflation curve by optimisation.xls

1/61

Worksheet Title

8.28 Static Index-Linked data8.29 Input RPI data

8.30 Worksheet displayin constructed !ero-coupon cur"es #ro$ %h 8 In#lation s&ap $odels

8.3' (uildin a )or&ard In#lation %ur"e *y +pti$isation

8.32 Worksheet #or $odellin all the index-linked ilt cash#lo&s #or use in the opti$isation $o


2/61

del


3/61

8.28 IL data)ile sa"ed as 322,8,,2.xls

EPae 3

Printed 02920' 22/,'/23

8.28: Static Index-Linked data

Spot 4-Feb-08

Settle$ent 5-Feb-08

aturity )irst (ase Index La

(ond %oupon 1ate Issue 1ate RPI

' IL 2., 09 2.,00 20-ay-2009 '9-+ct-'982 3'0.0 '94 8

2 IL 2., '' 2.,00 23-5u-20'' 28-6an-'982 294.'0 '94 8

3 IL 2., '3 2.,00 '-5u-20'3 2'-)e*-'98, 3,'.90 '94 8

4 IL 2.,' 2.,00 2-6ul-20' '9-6an-'983 322.00 '94 8

, IL '.2, ' '.2,0 22-7o"-20' 08-)e*-200 '93.3 '98 3

IL 2., 20 2.,00 '-5pr-2020 '2-+ct-'983 32.30 '94 8

IL '.8, 22 '.8, 22-7o"-2022 ''-6ul-200 20,. '98 3

8 IL 2., 24 2.,00 '-6ul-2024 30-1ec-'98 38,.30 '94 8

9 IL '.2, 2 '.2,0 22-7o"-202 2-5pr-200 '94.0 '98 3

'0 IL 4'8 30 4.'2, 22-6ul-2030 '2-6un-'992 '3,.'0 '98 8'' IL 2 3, 2.000 2-6an-203, ''-6ul-2002 '3.0 '98 8

'2 IL '.'2, 3 '.'2, 22-7o"-203 2'-)e*-200 202.24 '98 3

'3 IL 0., 4 0.,0 22-7o"-204 2'-7o"-200 20. '98 3

'4 IL '.2, ,, '.2,0 22-7o"-20,, 23-Sep-200, '92.20 '98 3

(ase RPI 6an '98'00 :all others use 6an '94'00;

%on"ersion at 6an '98

Index $o"ed #ro$ 394., *ack to '00


4/61

8.28 IL data)ile sa"ed as 322,8,,2.xls

EPae 4

Printed 02920' 22/,'/23


5/61

8.29 Input RPI Index)ile sa"ed as 322,8,,2.xls

EPae ,

Printed 02920' 22/,'/23

Date

Jan-99 644.613 163.40 16-Feb-99

Feb-99 645.7965 163.70 22-Mar-99 0.'83

Mar-99 647.3745 164.10 20-Apr-99 0.244

Apr-99 651.714 165.20 18-May-99 0.8

May-99 653.292 165.60 15-Jun-99 0.242

Jun-99 653.292 165.60 13-Jul-99 0.000

Jul-99 651.3195 165.10 17-Aug-99 -0.302

Aug-99 652.8975 165.50 14-Sep-99 0.242

Sep-99 655.659 166.20 12-Oct-99 0.422

Oct-99 656.8425 166.50 16-N!-99 0.'80

N!-99 657.6315 166.70 14-"ec-99 0.'20

"ec-99 659.9985 167.30 25-Jan-00 0.3,9

Jan-00 657.237 166.60 15-Feb-00 -0.4'9

Feb-00 660.7875 167.50 21-Mar-00 0.,39Mar-00 664.338 168.40 18-Apr-00 0.,3

Apr-00 671.0445 170.10 16-May-00 '.004

May-00 673.4115 170.70 13-Jun-00 0.3,2

Jun-00 674.9895 171.10 11-Jul-00 0.234

Jul-00 672.6225 170.50 15-Aug-00 -0.3,'

Aug-00 672.6225 170.50 12-Sep-00 0.000

Sep-00 677.3565 171.70 10-Oct-00 0.0'

Oct-00 676.962 171.60 14-N!-00 -0.0,8

N!-00 678.9345 172.10 12-"ec-00 0.29'

"ec-00 679.329 172.20 16-Jan-01 0.0,8

Jan-01 674.9895 171.10 13-Feb-01 -0.4'

Feb-01 678.54 172.00 20-Mar-01 0.,2,Mar-01 679.329 172.20 19-Apr-01 0.''

Apr-01 682.8795 173.10 15-May-01 0.,2'

May-01 687.219 174.20 12-Jun-01 0.33

Jun-01 688.008 174.40 17-Jul-01 0.'',

Jul-01 683.6685 173.30 14-Aug-01 -0.33

Aug-01 686.43 174.00 18-Sep-01 0.403 )e*-0

Sep-01 688.797 174.60 16-Oct-01 0.344 6an-0

Oct-01 687.6135 174.30 13-N!-01 -0.'2 1ec-0,

N!-01 684.852 173.60 11-"ec-01 -0.402 7o"-0,

"ec-01 684.063 173.40 15-Jan-02 -0.'', +ct-0,

Jan-02 683.6685 173.30 12-Feb-02 -0.0,8

Feb-02 685.641 173.80 19-Mar-02 0.288

Mar-02 688.4025 174.50 16-Apr-02 0.402

Apr-02 693.1365 175.70 21-May-02 0.8,

May-02 695.109 176.20 18-Jun-02 0.284

Jun-02 695.109 176.20 16-Jul-02 0.000

Jul-02 693.9255 175.90 13-Aug-02 -0.'0

Aug-02 695.898 176.40 17-Sep-02 0.284

Sep-02 700.632 177.60 15-Oct-02 0.8

Oct-02 177.90 12-N!-02 0.'9

N!-02 178.20 17-"ec-02 0.'8

"ec-02 178.50 21-Jan-03 0.'8

Jan-03 178.40 18-Feb-03 -0.0,Feb-03 179.30 18-Mar-03 0.,03

RPI (Jan74=100)

RPI (Jan87=100)

DatePublished


6/61


EPae

Printed 02920' 22/,'/23

Mar-03 179.90 15-Apr-03 0.334

Apr-03 181.20 20-May-03 0.20

May-03 181.50 17-Jun-03 0.',

Jun-03 181.30 15-Jul-03 -0.''0

Jul-03 181.30 12-Aug-03 0.000

Aug-03 181.60 16-Sep-03 0.',

Sep-03 182.50 14-Oct-03 0.494

Oct-03 182.60 18-N!-03 0.0,,

N!-03 182.70 15-"ec-03 0.0,,

"ec-03 183.50 20-Jan-04 0.43

Jan-04 183.10 17-Feb-04 -0.2'8

Feb-04 183.80 16-Mar-04 0.382

Mar-04 184.60 20-Apr-04 0.434

Apr-04 185.70 18-May-04 0.,94

May-04 186.50 15-Jun-04 0.430

Jun-04 186.80 13-Jul-04 0.''

Jul-04 186.80 10-Aug-04 0.000

Aug-04 187.40 14-Sep-04 0.32'Sep-04 188.10 12-Oct-04 0.33

Oct-04 188.60 16-N!-04 0.2,

N!-04 189.00 14-"ec-04 0.2'2

"ec-04 189.90 18-Jan-05 0.4,

Jan-05 188.90 15-Feb-05 -0.,28

Feb-05 189.60 22-Mar-05 0.30

Mar-05 190.50 19-Apr-05 0.44

Apr-05 191.60 17-May-05 0.,

May-05 192.00 14-Jun-05 0.209

Jun-05 192.20 12-Jul-05 0.'04

Jul-05 192.20 16-Aug-05 0.000

Aug-05 192.60 15-Sep-05 0.208Sep-05 193.10 18-Oct-05 0.2,9

Oct-05 193.30 15-N!-05 0.'04

N!-05 193.60 13-"ec-05 0.',,

"ec-05 194.10 17-Jan-06 0.2,8

Jan-06 193.40 14-Feb-06 -0.3'

Feb-06 194.20 21-Mar-06 0.4'3

Mar-06 195.00 20-Apr-06 0.4''

Apr-06 196.50 16-May-06 0.

May-06 197.70 13-Jun-06 0.09

Jun-06 198.50 18-Jul-06 0.404

Jul-06 198.50 15-Aug-06 0.000

Aug-06 199.20 12-Sep-06 0.3,2

Sep-06 200.10 17-Oct-06 0.4,'

Oct-06 200.40 14-N!-06 0.',0

N!-06 201.10 12-"ec-06 0.349

"ec-06 202.70 16-Jan-07 0.92

Jan-07 201.60 13-Feb-07 -0.,44

Feb-07 203.10 20-Mar-07 0.4'

Mar-07 204.40 17-Apr-07 0.38

Apr-07 205.40 15-May-07 0.488

May-07 206.20 12-Jun-07 0.389

Jun-07 207.30 17-Jul-07 0.,32

Jul-07 206.10 14-Aug-07 -0.,8'Aug-07 207.30 18-Sep-07 0.,8'


7/61


EPae

Printed 02920' 22/,'/23

Sep-07 208.00 16-Oct-07 0.33

Oct-07 208.90 13-N!-07 0.432

N!-07 209.70 18-"ec-07 0.382

"ec-07 210.90 15-Jan-08 0.,'

Jan-08 209.80 12-Feb-08 -0.,23


8/61


EPae 8

Printed 02920' 22/,'/23

2.9, '94.20 259.72

2.99 '93.40 259.72 4.2,

2.9 '94.'0 259.72 0.,3

2.98 '93.0 259.72 3.'9

3.00 '93.30 259.72 4.8


9/61


EPae 9

Printed 02920' 22/,'/23


10/61


EPae '0

Printed 02920' 22/,'/23


11/61

8.#0: Worksheet displa&in' constr(cted )ero-co(pon c(r*es +ro, h 8 In+lation sap ,odels

/ootstrapped c(r*e

Ti,e ate 1radient

0.000 5.132# 0.000

0.085 5.132# -0.009

1.085 4.270# 0.000

2.337 4.209# 0.000

4.088 4.210# 0.001

5.647 4.405# 0.000

7.592 4.428# 0.000

8.595 4.448# 0.001

9.559 4.552# 0.000

12.093 4.499# 0.001

13.345 4.604# 0.000

17.096 4.442# 0.00022.852 4.415# -0.001

24.353 4.313# 0.000

28.104 4.243# 0.000

30.858 4.208# 0.000

47.868 4.022#


12/61


13/61


14/61

8.#2: Worksheet +or ,odellin' all the index-linked 'ilt cash+los +or (se in the opti,isation

)ay% )ate 4-Feb-08

Settle/ent )ate 5-Feb-08

:n) N.

I- 6.5 0

Matur(ty )ate * 20-May-09

N. upn% * 3

:a%e (n)e, 310.70

Start )ate +n)e, 27-May-05

;eba%e) (n)e, 78.76

$ag 8

F(,e) +nlate)

"ay a%' ;eerence +n)e, a%'

cunt l% /nt' l%2.50#

20-N!-07

0 5-Feb-08 0.000 5-Jun-07 207.300 - 267.837

1 20-May-08 0.288 1.250 20-Sep-07 208.000 3.3013

2 20-N!-08 0.792 1.250 20-Mar-08 211.142 3.3511

3 20-May-09 1.288 101.250 20-Sep-08 214.755 276.0856

4

5

6

7

8

910

11

12

13

14

15

16

17

18

19

20

21

22

23

24

25

26

27

28

29

30

31

3233


15/61

34

35

36

37

38

39

40

41

42

43

44

45

46

47

48

49

50

5152

53

54

55

56

57

58

59

60

61

62

6364

65

66

67

68

69

70

71

72

73

74

75

76

77

78

79

80

81

82

83

84

85

8687


16/61

88

89

90

91

92

93

94

95

96

97

98

99

100


17/61

,odel

1 :n) N.

I- 6.5 11

Matur(ty )ate * 23-Aug-11

N. upn% * 8

:a%e (n)e, 294.10


;eba%e) (n)e, 74.55

$ag 8

F(,e)

+nterplate) "F% ;epr(ce) "ay a%'


18/61


19/61


20/61

2 :n) N.

I- 6.5 13

Matur(ty )at

N. up

:a%e (n)e,

Start )ate

;eba%e) (n

$ag

+nlate)

;eerence +n)e, a%' +nterplate) "F% ;epr(ce)

/nt' l%


21/61


22/61


23/61

3

e * 16-Aug-13

n% * 12

351.90

+n)e, 27-May-05

e, 89.20

8

F(,e) +nlate)

"ay a%' ;eerence +n)e, a%' +nterplate) "F% ;epr(ce)

cunt l% /nt' l%


24/61


25/61


26/61

:n) N. 4

I- 6.512

Matur(ty )ate * 26-Jul-16

N. upn% * 17

:a%e (n)e, 322.00


;eba%e) (n)e, 81.62

$ag 8

F(,e) +nlate)

"ay a%' ;eerence +n)e, a%' terplate) "F% ;epr(ce)

cunt l% /nt' l%


27/61


28/61


29/61

:n) N. 5

I- 1.65 17

Matur(ty )ate * 22-N!-17

N. upn% * 20

:a%e (n)e, 193.73

Start )ate +n)e, 9-Jun-05

;eba%e) (n)e, 193.73

$ag 3

F(,e) +nlate)

"ay a%' ;eerence +n)e, a%' nterplate) "F% ;epr(ce)

cunt l% /nt' l%


30/61


31/61


32/61

:n) N. 6

I- 6.5 60

Matur(ty )ate * 16-Apr-20

N. upn% * 25

:a%e (n)e, 327.30


;eba%e) (n)e, 82.97

$ag 8

F(,e) +nlate)

"ay a%' ;eerence +n)e, a%' +nterplate) "F% ;epr(ce)

cunt l% /nt' l%


33/61


34/61


35/61

:n) N.

I- 1.875 66


N. upn% * 30

:a%e (n)e, 205.66


;eba%e) (n)e, 205.66

$ag 3

F(,e) +nlate)

"ay a%' ;eerence +n)e, a%' +nterplate) "F%

cunt l% /nt' l%


36/61


37/61


38/61

7 :n) N.

I- 6.5 64


N. upn% * 33

:a%e (n)e, 385.30

Start )ate +n)e, ===

;eba%e) (n)e, 97.67

$ag 8

F(,e) +nlate)

;epr(ce) "ay a%' ;eerence +n)e, a%' +nterplate) "F%

bn) cunt l% /nt' l%


39/61


40/61


41/61

8 :n) N.

I- 1.65 67


N. upn% * 40

:a%e (n)e, 194.07


;eba%e) (n)e, 194.07

$ag 3

F(,e) +nlate)

;epr(ce) "ay a%' ;eerence +n)e, a%' +nterplate)

bn) cunt l% /nt' l%


42/61

22-N!-24 16.808 0.625 22-Aug-24 372.798 1.2006 4.4549#

22-May-25 17.304 0.625 22-Feb-25 379.484 1.2221 4.4415#

22-N!-25 17.808 0.625 22-Aug-25 386.583 1.2450 4.4391#

22-May-26 18.304 0.625 22-Feb-26 394.006 1.2689 4.4367#

22-N!-26 18.808 0.625 22-Aug-26 401.888 1.2943 4.4343#

22-May-27 19.304 0.625 22-Feb-27 410.133 1.3209 4.4319#

22-N!-27 19.808 100.625 22-Aug-27 418.884 217.1946 4.4295#


43/61


44/61

9 :n) N.

I- 4198 30


N. upn% * 45

:a%e (n)e, 135.10


;eba%e) (n)e, 135.10

$ag 8

F(,e) +nlate)

"F% ;epr(ce) "ay a%' ;eerence +n)e, a%' erplate)

bn) cunt l% /nt' l%


45/61

0.472941 0.5678 22-Jan-25 16.975 2.063 22-May-24 368.833 5.6308 4.4477#

0.463680 0.5667 22-Jul-25 17.471 2.063 22-N!-24 375.328 5.7299 4.4407#

0.453609 0.5647 22-Jan-26 17.975 2.063 22-May-25 382.176 5.8345 4.4383#

0.443926 0.5633 22-Jul-26 18.471 2.063 22-N!-25 389.393 5.9446 4.4359#

0.434305 0.5621 22-Jan-27 18.975 2.063 22-May-26 396.995 6.0607 4.4335#

0.425055 0.5614 22-Jul-27 19.471 2.063 22-N!-26 405.009 6.1831 4.4311#

0.415863 90.3231 22-Jan-28 19.975 2.063 22-May-27 413.452 6.3120 4.4287#

22-Jul-28 20.474 2.063 22-N!-27 422.348 6.4478 4.4263#

22-Jan-29 20.978 2.063 22-May-28 431.641 6.5896 4.4239#

22-Jul-29 21.474 2.063 22-N!-28 441.145 6.7347 4.4215#

22-Jan-30 21.978 2.063 22-May-29 450.753 6.8814 4.4191#

22-Jul-30 22.474 102.063 22-N!-29 460.195 347.6584 4.4167#


46/61


47/61

10 :n) N.

I- 6 35

Matur(ty )ate * 26-Jan-35

N. upn% * 54

:a%e (n)e, 173.60


;eba%e) (n)e, 173.60

$ag 8

F(,e) +nlate)

"F% ;epr(ce) "ay a%' ;eerence +n)e, a%' erplate)

bn) cunt l% /nt' l%


48/61

0.470007 2.6465 26-Jan-25 16.986 1.000 26-May-24 368.833 2.1246 4.4472#

0.460316 2.6376 26-Jul-25 17.482 1.000 26-N!-24 375.328 2.1620 4.4406#

0.450321 2.6274 26-Jan-26 17.986 1.000 26-May-25 382.176 2.2015 4.4382#

0.440712 2.6199 26-Jul-26 18.482 1.000 26-N!-25 389.393 2.2430 4.4358#

0.431164 2.6132 26-Jan-27 18.986 1.000 26-May-26 396.995 2.2868 4.4334#

0.421984 2.6091 26-Jul-27 19.482 1.000 26-N!-26 405.009 2.3330 4.4310#

0.412862 2.6060 26-Jan-28 19.986 1.000 26-May-27 413.452 2.3816 4.4286#

0.404042 2.6052 26-Jul-28 20.485 1.000 26-N!-27 422.348 2.4329 4.4262#

0.395327 2.6051 26-Jan-29 20.989 1.000 26-May-28 431.641 2.4864 4.4238#

0.386947 2.6060 26-Jul-29 21.485 1.000 26-N!-28 441.145 2.5412 4.4214#

0.378618 2.6054 26-Jan-30 21.989 1.000 26-May-29 450.753 2.5965 4.4190#

0.370610 128.8456 26-Jul-30 22.485 1.000 26-N!-29 460.195 2.6509 4.4166#

26-Jan-31 22.989 1.000 26-May-30 469.423 2.7041 4.4055#

26-Jul-31 23.485 1.000 26-N!-30 478.373 2.7556 4.3718#

26-Jan-32 23.989 1.000 26-May-31 487.058 2.8056 4.3374#

26-Jul-32 24.488 1.000 26-N!-31 495.556 2.8546 4.3101#

26-Jan-33 24.992 1.000 26-May-32 503.895 2.9026 4.3008#

26-Jul-33 25.488 1.000 26-N!-32 512.162 2.9502 4.2917#26-Jan-34 25.992 1.000 26-May-33 520.392 2.9976 4.2823#

26-Jul-34 26.488 1.000 26-N!-33 528.681 3.0454 4.2732#

26-Jan-35 26.992 101.000 26-May-34 537.063 312.4619 4.2639#


49/61


50/61

11 :n) N.

I- 1.165 37


N. upn% * 60

:a%e (n)e, 202.24


;eba%e) (n)e, 202.24

$ag 3

F(,e) +nlate)

"F% ;epr(ce) "ay a%' ;eerence +n)e, a%'

bn) cunt l% /nt' l%1.13#

0.0000 22-N!-07

1 -153.8964 5-Feb-08 0.000 5-N!-07 209.855 - 114.238

0.977639 1.1809 22-May-08 0.293 0.563 22-Feb-08 210.928 0.5867

0.958326 1.1726 22-N!-08 0.797 0.563 22-Aug-08 214.588 0.5968

0.939373 1.1678 22-May-09 1.293 0.563 22-Feb-09 217.618 0.6053

0.919901 1.1591 22-N!-09 1.797 0.563 22-Aug-09 220.521 0.6133

0.901211 1.1505 22-May-10 2.293 0.563 22-Feb-10 223.395 0.6213

0.882279 1.1412 22-N!-10 2.797 0.563 22-Aug-10 226.466 0.6299

0.864040 1.1333 22-May-11 3.293 0.563 22-Feb-11 229.746 0.6390

0.845881 1.1260 22-N!-11 3.797 0.563 22-Aug-11 233.281 0.6488

0.826520 1.1174 22-May-12 4.296 0.563 22-Feb-12 237.011 0.65920.806437 1.1078 22-N!-12 4.800 0.563 22-Aug-12 240.822 0.6698

0.786671 1.0979 22-May-13 5.296 0.563 22-Feb-13 244.610 0.6803

0.768305 1.0891 22-N!-13 5.800 0.563 22-Aug-13 248.436 0.6910

0.751398 1.0816 22-May-14 6.296 0.563 22-Feb-14 252.258 0.7016

0.734548 1.0738 22-N!-14 6.800 0.563 22-Aug-14 256.297 0.7128

0.718298 1.0671 22-May-15 7.296 0.563 22-Feb-15 260.561 0.7247

0.701946 1.0607 22-N!-15 7.800 0.563 22-Aug-15 265.281 0.7378

0.686028 1.0560 22-May-16 8.299 0.563 22-Feb-16 270.439 0.7522

0.668168 1.0490 22-N!-16 8.803 0.563 22-Aug-16 275.966 0.7675

0.650133 1.0417 22-May-17 9.299 0.563 22-Feb-17 281.716 0.7835

0.635414 1.0393 22-N!-17 9.803 0.563 22-Aug-17 287.435 0.7994

0.621944 1.0374 22-May-18 10.299 0.563 22-Feb-18 292.938 0.8147

0.608608 1.0344 22-N!-18 10.803 0.563 22-Aug-18 298.436 0.8300

0.595831 1.0315 22-May-19 11.299 0.563 22-Feb-19 303.905 0.8453

0.583180 1.0283 22-N!-19 11.803 0.563 22-Aug-19 309.697 0.8614

0.568098 1.0210 22-May-20 12.301 0.563 22-Feb-20 315.808 0.8784

0.552219 1.0124 22-N!-20 12.805 0.563 22-Aug-20 322.232 0.8962

0.538045 1.0065 22-May-21 13.301 0.563 22-Feb-21 328.834 0.9146

0.527315 1.0067 22-N!-21 13.805 0.563 22-Aug-21 335.499 0.9331

0.517079 1.0068 22-May-22 14.301 0.563 22-Feb-22 342.045 0.9513

0.506987 1.0062 22-N!-22 14.805 0.563 22-Aug-22 348.375 0.9689

0.497357 1.0048 22-May-23 15.301 0.563 22-Feb-23 354.347 0.9855

0.487862 1.0023 22-N!-23 15.805 0.563 22-Aug-23 360.355 1.00230.478751 1.0002 22-May-24 16.304 0.563 22-Feb-24 366.412 1.0191


51/61

0.469815 0.9982 22-N!-24 16.808 0.563 22-Aug-24 372.798 1.0369

0.460096 0.9947 22-May-25 17.304 0.563 22-Feb-25 379.484 1.0555

0.450107 0.9909 22-N!-25 17.808 0.563 22-Aug-25 386.583 1.0752

0.440502 0.9881 22-May-26 18.304 0.563 22-Feb-26 394.006 1.0959

0.430959 0.9855 22-N!-26 18.808 0.563 22-Aug-26 401.888 1.1178

0.421783 0.9840 22-May-27 19.304 0.563 22-Feb-27 410.133 1.1407

0.412666 0.9828 22-N!-27 19.808 0.563 22-Aug-27 418.884 1.1650

0.403851 0.9825 22-May-28 20.307 0.563 22-Feb-28 428.017 1.1904

0.395140 0.9825 22-N!-28 20.811 0.563 22-Aug-28 437.478 1.2168

0.386763 0.9828 22-May-29 21.307 0.563 22-Feb-29 447.048 1.2434

0.378439 0.9826 22-N!-29 21.811 0.563 22-Aug-29 456.597 1.2699

0.370435 0.9820 22-May-30 22.307 0.563 22-Feb-30 465.881 1.2958

0.363203 0.9821 22-N!-30 22.811 0.563 22-Aug-30 474.976 1.3211

0.358184 0.9870 22-May-31 23.307 0.563 22-Feb-31 483.717 1.3454

0.353275 0.9912 22-N!-31 23.811 0.563 22-Aug-31 492.321 1.3693

0.348035 0.9935 22-May-32 24.310 0.563 22-Feb-32 500.676 1.3925

0.341349 0.9908 22-N!-32 24.814 0.563 22-Aug-32 509.001 1.4157

0.334927 0.9881 22-May-33 25.310 0.563 22-Feb-33 517.200 1.43850.328554 0.9849 22-N!-33 25.814 0.563 22-Aug-33 525.496 1.4616

0.322432 0.9819 22-May-34 26.310 0.563 22-Feb-34 533.800 1.4847

0.316355 98.8489 22-N!-34 26.814 0.563 22-Aug-34 542.318 1.5084

22-May-35 27.310 0.563 22-Feb-35 550.951 1.5324

22-N!-35 27.814 0.563 22-Aug-35 559.830 1.5571

22-May-36 28.312 0.563 22-Feb-36 568.824 1.5821

22-N!-36 28.816 0.563 22-Aug-36 578.061 1.6078

22-May-37 29.312 0.563 22-Feb-37 587.399 1.6337

22-N!-37 29.816 100.563 22-Aug-37 596.972 296.8363


52/61


53/61

12 :n) N.

I- 0.75 47


N. upn% * 80

:a%e (n)e, 207.77


;eba%e) (n)e, 207.77

$ag 3

F(,e)

+nterplate) "F% ;epr(ce) "ay a%' ;eerence +n)e,


54/61

4.4549# 0.472941 0.4904 22-N!-24 16.808 0.375 22-Aug-24 372.798

4.4415# 0.463680 0.4894 22-May-25 17.304 0.375 22-Feb-25 379.484

4.4391# 0.453609 0.4877 22-N!-25 17.808 0.375 22-Aug-25 386.583

4.4367# 0.443926 0.4865 22-May-26 18.304 0.375 22-Feb-26 394.006

4.4343# 0.434305 0.4855 22-N!-26 18.808 0.375 22-Aug-26 401.888

4.4319# 0.425055 0.4849 22-May-27 19.304 0.375 22-Feb-27 410.133

4.4295# 0.415863 0.4845 22-N!-27 19.808 0.375 22-Aug-27 418.884

4.4271# 0.406976 0.4845 22-May-28 20.307 0.375 22-Feb-28 428.017

4.4247# 0.398194 0.4845 22-N!-28 20.811 0.375 22-Aug-28 437.478

4.4223# 0.389750 0.4846 22-May-29 21.307 0.375 22-Feb-29 447.048

4.4199# 0.381358 0.4843 22-N!-29 21.811 0.375 22-Aug-29 456.597

4.4175# 0.373289 0.4837 22-May-30 22.307 0.375 22-Feb-30 465.881

4.4151# 0.365269 0.4825 22-N!-30 22.811 0.375 22-Aug-30 474.976

4.3839# 0.359965 0.4843 22-May-31 23.307 0.375 22-Feb-31 483.717

4.3496# 0.354987 0.4861 22-N!-31 23.811 0.375 22-Aug-31 492.321

4.3156# 0.350251 0.4877 22-May-32 24.310 0.375 22-Feb-32 500.676

4.3041# 0.343692 0.4866 22-N!-32 24.814 0.375 22-Aug-32 509.001

4.2949# 0.337216 0.4851 22-May-33 25.310 0.375 22-Feb-33 517.2004.2856# 0.330788 0.4835 22-N!-33 25.814 0.375 22-Aug-33 525.496

4.2765# 0.324614 0.4819 22-May-34 26.310 0.375 22-Feb-34 533.800

4.2671# 0.318485 0.4804 22-N!-34 26.814 0.375 22-Aug-34 542.318

4.2580# 0.312598 0.4790 22-May-35 27.310 0.375 22-Feb-35 550.951

4.2487# 0.306754 0.4776 22-N!-35 27.814 0.375 22-Aug-35 559.830

4.2407# 0.301004 0.4762 22-May-36 28.312 0.375 22-Feb-36 568.824

4.2343# 0.295180 0.4746 22-N!-36 28.816 0.375 22-Aug-36 578.061

4.2280# 0.289578 0.4731 22-May-37 29.312 0.375 22-Feb-37 587.399

4.2216# 0.284011 84.3047 22-N!-37 29.816 0.375 22-Aug-37 596.972

22-May-38 30.312 0.375 22-Feb-38 606.638

22-N!-38 30.816 0.375 22-Aug-38 616.543

22-May-39 31.312 0.375 22-Feb-39 626.54222-N!-39 31.816 0.375 22-Aug-39 636.790

22-May-40 32.315 0.375 22-Feb-40 647.138

22-N!-40 32.819 0.375 22-Aug-40 657.743

22-May-41 33.315 0.375 22-Feb-41 668.451

22-N!-41 33.819 0.375 22-Aug-41 679.428

22-May-42 34.315 0.375 22-Feb-42 690.513

22-N!-42 34.819 0.375 22-Aug-42 701.879

22-May-43 35.315 0.375 22-Feb-43 713.362

22-N!-43 35.819 0.375 22-Aug-43 725.142

22-May-44 36.318 0.375 22-Feb-44 737.048

22-N!-44 36.822 0.375 22-Aug-44 749.268

22-May-45 37.318 0.375 22-Feb-45 761.624

22-N!-45 37.822 0.375 22-Aug-45 774.308

22-May-46 38.318 0.375 22-Feb-46 787.134

22-N!-46 38.822 0.375 22-Aug-46 800.302

22-May-47 39.318 0.375 22-Feb-47 813.618

22-N!-47 39.822 100.375 22-Aug-47 827.288


55/61


56/61

13 :n) N.

I- 1.65 55


N. upn% * 96

:a%e (n)e, 192.20


;eba%e) (n)e, 192.20

$ag 3

+nlate) F(,e)

a%' +nterplate) "F% ;epr(ce) "ay a%'

l%


57/61

0.6729 4.4549# 0.472941 0.3182 22-N!-24 16.808 0.625

0.6849 4.4415# 0.463680 0.3176 22-May-25 17.304 0.625

0.6977 4.4391# 0.453609 0.3165 22-N!-25 17.808 0.625

0.7111 4.4367# 0.443926 0.3157 22-May-26 18.304 0.625

0.7254 4.4343# 0.434305 0.3150 22-N!-26 18.808 0.625

0.7403 4.4319# 0.425055 0.3146 22-May-27 19.304 0.625

0.7560 4.4295# 0.415863 0.3144 22-N!-27 19.808 0.625

0.7725 4.4271# 0.406976 0.3144 22-May-28 20.307 0.625

0.7896 4.4247# 0.398194 0.3144 22-N!-28 20.811 0.625

0.8069 4.4223# 0.389750 0.3145 22-May-29 21.307 0.625

0.8241 4.4199# 0.381358 0.3143 22-N!-29 21.811 0.625

0.8409 4.4175# 0.373289 0.3139 22-May-30 22.307 0.625

0.8573 4.4151# 0.365269 0.3131 22-N!-30 22.811 0.625

0.8731 4.3839# 0.359965 0.3143 22-May-31 23.307 0.625

0.8886 4.3496# 0.354987 0.3154 22-N!-31 23.811 0.625

0.9037 4.3156# 0.350251 0.3165 22-May-32 24.310 0.625

0.9187 4.3041# 0.343692 0.3158 22-N!-32 24.814 0.625

0.9335 4.2949# 0.337216 0.3148 22-May-33 25.310 0.6250.9485 4.2856# 0.330788 0.3137 22-N!-33 25.814 0.625

0.9635 4.2765# 0.324614 0.3128 22-May-34 26.310 0.625

0.9788 4.2671# 0.318485 0.3117 22-N!-34 26.814 0.625

0.9944 4.2580# 0.312598 0.3109 22-May-35 27.310 0.625

1.0104 4.2487# 0.306754 0.3100 22-N!-35 27.814 0.625

1.0267 4.2407# 0.301004 0.3090 22-May-36 28.312 0.625

1.0433 4.2343# 0.295180 0.3080 22-N!-36 28.816 0.625

1.0602 4.2280# 0.289578 0.3070 22-May-37 29.312 0.625

1.0775 4.2216# 0.284011 0.3060 22-N!-37 29.816 0.625

1.0949 4.2154# 0.278656 0.3051 22-May-38 30.312 0.625

1.1128 4.2090# 0.273334 0.3042 22-N!-38 30.816 0.625

1.1309 4.2035# 0.268150 0.3032 22-May-39 31.312 0.6251.1493 4.1979# 0.262991 0.3023 22-N!-39 31.816 0.625

1.1680 4.1925# 0.257999 0.3013 22-May-40 32.315 0.625

1.1872 4.1869# 0.253063 0.3004 22-N!-40 32.819 0.625

1.2065 4.1815# 0.248313 0.2996 22-May-41 33.315 0.625

1.2263 4.1759# 0.243590 0.2987 22-N!-41 33.819 0.625

1.2463 4.1705# 0.239044 0.2979 22-May-42 34.315 0.625

1.2668 4.1650# 0.234522 0.2971 22-N!-42 34.819 0.625

1.2876 4.1595# 0.230171 0.2964 22-May-43 35.315 0.625

1.3088 4.1540# 0.225842 0.2956 22-N!-43 35.819 0.625

1.3303 4.1485# 0.221653 0.2949 22-May-44 36.318 0.625

1.3524 4.1430# 0.217508 0.2941 22-N!-44 36.822 0.625

1.3747 4.1375# 0.213519 0.2935 22-May-45 37.318 0.625

1.3976 4.1320# 0.209550 0.2929 22-N!-45 37.822 0.625

1.4207 4.1265# 0.205729 0.2923 22-May-46 38.318 0.625

1.4445 4.1210# 0.201927 0.2917 22-N!-46 38.822 0.625

1.4685 4.1155# 0.198267 0.2912 22-May-47 39.318 0.625

399.6744 4.1100# 0.194624 77.7864 22-N!-47 39.822 0.625

22-May-48 40.321 0.625

22-N!-48 40.825 0.625

22-May-49 41.321 0.625

22-N!-49 41.825 0.625

22-May-50 42.321 0.625

22-N!-50 42.825 0.62522-May-51 43.321 0.625


58/61

22-N!-51 43.825 0.625

22-May-52 44.323 0.625

22-N!-52 44.827 0.625

22-May-53 45.323 0.625

22-N!-53 45.827 0.625

22-May-54 46.323 0.625

22-N!-54 46.827 0.625

22-May-55 47.323 0.625

22-N!-55 47.827 100.625


59/61

14

+nlate)

;eerence +n)e, a%' +nterplate) "F% ;epr(ce)

/nt' l%


60/61

22-Aug-24 372.798 1.2123 4.4549# 0.472941 0.5733

22-Feb-25 379.484 1.2340 4.4415# 0.463680 0.5722

22-Aug-25 386.583 1.2571 4.4391# 0.453609 0.5702

22-Feb-26 394.006 1.2812 4.4367# 0.443926 0.5688

22-Aug-26 401.888 1.3069 4.4343# 0.434305 0.5676

22-Feb-27 410.133 1.3337 4.4319# 0.425055 0.5669

22-Aug-27 418.884 1.3621 4.4295# 0.415863 0.5665

22-Feb-28 428.017 1.3918 4.4271# 0.406976 0.5664

22-Aug-28 437.478 1.4226 4.4247# 0.398194 0.5665

22-Feb-29 447.048 1.4537 4.4223# 0.389750 0.5666

22-Aug-29 456.597 1.4848 4.4199# 0.381358 0.5662

22-Feb-30 465.881 1.5150 4.4175# 0.373289 0.5655

22-Aug-30 474.976 1.5445 4.4151# 0.365269 0.5642

22-Feb-31 483.717 1.5730 4.3839# 0.359965 0.5662

22-Aug-31 492.321 1.6009 4.3496# 0.354987 0.5683

22-Feb-32 500.676 1.6281 4.3156# 0.350251 0.5702

22-Aug-32 509.001 1.6552 4.3041# 0.343692 0.5689

22-Feb-33 517.200 1.6818 4.2949# 0.337216 0.567122-Aug-33 525.496 1.7088 4.2856# 0.330788 0.5653

22-Feb-34 533.800 1.7358 4.2765# 0.324614 0.5635

22-Aug-34 542.318 1.7635 4.2671# 0.318485 0.5617

22-Feb-35 550.951 1.7916 4.2580# 0.312598 0.5600

22-Aug-35 559.830 1.8205 4.2487# 0.306754 0.5584

22-Feb-36 568.824 1.8497 4.2407# 0.301004 0.5568

22-Aug-36 578.061 1.8797 4.2343# 0.295180 0.5549

22-Feb-37 587.399 1.9101 4.2280# 0.289578 0.5531

22-Aug-37 596.972 1.9412 4.2216# 0.284011 0.5513

22-Feb-38 606.638 1.9727 4.2154# 0.278656 0.5497

22-Aug-38 616.543 2.0049 4.2090# 0.273334 0.5480

22-Feb-39 626.542 2.0374 4.2035# 0.268150 0.546322-Aug-39 636.790 2.0707 4.1979# 0.262991 0.5446

22-Feb-40 647.138 2.1044 4.1925# 0.257999 0.5429

22-Aug-40 657.743 2.1389 4.1869# 0.253063 0.5413

22-Feb-41 668.451 2.1737 4.1815# 0.248313 0.5398

22-Aug-41 679.428 2.2094 4.1759# 0.243590 0.5382

22-Feb-42 690.513 2.2454 4.1705# 0.239044 0.5368

22-Aug-42 701.879 2.2824 4.1650# 0.234522 0.5353

22-Feb-43 713.362 2.3197 4.1595# 0.230171 0.5339

22-Aug-43 725.142 2.3580 4.1540# 0.225842 0.5325

22-Feb-44 737.048 2.3967 4.1485# 0.221653 0.5312

22-Aug-44 749.268 2.4365 4.1430# 0.217508 0.5300

22-Feb-45 761.624 2.4767 4.1375# 0.213519 0.5288

22-Aug-45 774.308 2.5179 4.1320# 0.209550 0.5276

22-Feb-46 787.134 2.5596 4.1265# 0.205729 0.5266

22-Aug-46 800.302 2.6024 4.1210# 0.201927 0.5255

22-Feb-47 813.618 2.6457 4.1155# 0.198267 0.5246

22-Aug-47 827.288 2.6902 4.1100# 0.194624 0.5236

22-Feb-48 841.111 2.7351 4.1045# 0.191098 0.5227

22-Aug-48 855.299 2.7813 4.0990# 0.187608 0.5218

22-Feb-49 869.641 2.8279 4.0935# 0.184247 0.5210

22-Aug-49 884.358 2.8758 4.0880# 0.180903 0.5202

22-Feb-50 899.232 2.9241 4.0826# 0.177681 0.5196

22-Aug-50 914.491 2.9738 4.0770# 0.174475 0.518822-Feb-51 929.909 3.0239 4.0716# 0.171387 0.5183


61/61

22-Aug-51 945.721 3.0753 4.0660# 0.168313 0.5176

22-Feb-52 961.695 3.1273 4.0606# 0.165336 0.5170

22-Aug-52 978.073 3.1805 4.0550# 0.162389 0.5165

22-Feb-53 994.614 3.2343 4.0496# 0.159549 0.5160

22-Aug-53 1011.571 3.2894 4.0440# 0.156722 0.5155

22-Feb-54 1028.694 3.3451 4.0386# 0.153999 0.5151

22-Aug-54 1046.243 3.4022 4.0331# 0.151287 0.5147

22-Feb-55 1063.960 3.4598 4.0276# 0.148674 0.5144

22-Aug-55 1082.115 566.5339 4.0221# 0.146072 82.7550

ch 8 building an inflation curve by optimisation.xls

Documents