uk swap rpi model - - - - - - - - - - - - - - - - - - - - - - forwarded by zimin lu / hou / ect on 03 / 31 / 2000 01 : 44 pm
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martina angelova
03 / 22 / 2000 02 : 59 pm
to : zimin lu / hou / ect @ ect
cc : anjam ahmad / lon / ect @ ect , trena mcfarland / lon / ect @ ect
subject : uk swap rpi model
hi zimin !
please find attached the rpi model i developed by bootstrapping rpi swaps .
the structure of this particular swap is :
semi / semi act / 365 f
>
> yoyukrpi = ( ukrpi ( p - 2 ) / ukrpi ( p - 14 ) - 1 ) / 2
> p = payment month
>
the first payment is the latest known historical rpi , february 2000 . you will
notice that i have assumed constant cashflows between the quoted years ( as
opposed to interpolating swaps which distorts the curve a lot ) .
please find below a graphic comparison between the rpi curve produced by
swaps and the one produced by the gilt market .
looking forward to your comments .
best regards ,
martina
x 34327