ch 8 building an inflation curve by optimisation.xls
TRANSCRIPT
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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 $o
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del
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8.28 IL data)ile sa"ed as 322,8,,2.xls
EPae 3
Printed 02920' 22/,'/23
8.28: Static Index-Linked data
Spot 4-Feb-08
Settle$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
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8.28 IL data)ile sa"ed as 322,8,,2.xls
EPae 4
Printed 02920' 22/,'/23
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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
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8.29 Input RPI Index)ile sa"ed as 322,8,,2.xls
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'
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8.29 Input RPI Index)ile sa"ed as 322,8,,2.xls
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
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8.29 Input RPI Index)ile sa"ed as 322,8,,2.xls
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
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8.29 Input RPI Index)ile sa"ed as 322,8,,2.xls
EPae 9
Printed 02920' 22/,'/23
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8.29 Input RPI Index)ile sa"ed as 322,8,,2.xls
EPae '0
Printed 02920' 22/,'/23
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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#
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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
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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
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88
89
90
91
92
93
94
95
96
97
98
99
100
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,odel
1 :n) N.
I- 6.5 11
Matur(ty )ate * 23-Aug-11
N. upn% * 8
:a%e (n)e, 294.10
Start )ate +n)e, 27-May-05
;eba%e) (n)e, 74.55
$ag 8
F(,e)
+nterplate) "F% ;epr(ce) "ay a%'
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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%
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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%
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:n) N. 4
I- 6.512
Matur(ty )ate * 26-Jul-16
N. upn% * 17
:a%e (n)e, 322.00
Start )ate +n)e, 27-May-05
;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%
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: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%
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:n) N. 6
I- 6.5 60
Matur(ty )ate * 16-Apr-20
N. upn% * 25
:a%e (n)e, 327.30
Start )ate +n)e, 27-May-05
;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%
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:n) N.
I- 1.875 66
Matur(ty )ate * 22-N!-22
N. upn% * 30
:a%e (n)e, 205.66
Start )ate +n)e, 9-Jun-05
;eba%e) (n)e, 205.66
$ag 3
F(,e) +nlate)
"ay a%' ;eerence +n)e, a%' +nterplate) "F%
cunt l% /nt' l%
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7 :n) N.
I- 6.5 64
Matur(ty )ate * 17-Jul-24
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%
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8 :n) N.
I- 1.65 67
Matur(ty )ate * 22-N!-27
N. upn% * 40
:a%e (n)e, 194.07
Start )ate +n)e, 9-Jun-05
;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%
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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#
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9 :n) N.
I- 4198 30
Matur(ty )ate * 22-Jul-30
N. upn% * 45
:a%e (n)e, 135.10
Start )ate +n)e, 9-Jun-05
;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%
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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#
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10 :n) N.
I- 6 35
Matur(ty )ate * 26-Jan-35
N. upn% * 54
:a%e (n)e, 173.60
Start )ate +n)e, 9-Jun-05
;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%
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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#
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11 :n) N.
I- 1.165 37
Matur(ty )ate * 22-N!-37
N. upn% * 60
:a%e (n)e, 202.24
Start )ate +n)e, 9-Jun-05
;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
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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
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12 :n) N.
I- 0.75 47
Matur(ty )ate * 22-N!-47
N. upn% * 80
:a%e (n)e, 207.77
Start )ate +n)e, 9-Jun-05
;eba%e) (n)e, 207.77
$ag 3
F(,e)
+nterplate) "F% ;epr(ce) "ay a%' ;eerence +n)e,
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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
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13 :n) N.
I- 1.65 55
Matur(ty )ate * 22-N!-55
N. upn% * 96
:a%e (n)e, 192.20
Start )ate +n)e, 9-Jun-05
;eba%e) (n)e, 192.20
$ag 3
+nlate) F(,e)
a%' +nterplate) "F% ;epr(ce) "ay a%'
l%
-
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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
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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
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14
+nlate)
;eerence +n)e, a%' +nterplate) "F% ;epr(ce)
/nt' l%
-
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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
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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