YiledCurveDynamics_InflationDecomposition_swaps(2)

Ytm ytm inflation ear ear ear 009 016 019 034 056 086

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Unformatted text preview: R %) (EAR %) 0.09 0.16 0.19 0.34 0.56 0.86 1.16 1.44 1.72 1.95 2.07 2.30 2.90 3.06 3.13 -1.16 -0.94 -0.83 -0.71 -0.60 -0.38 -0.15 0.01 0.13 0.25 0.92 Difference Breakeven Expected Inflation (EAR %) 1.21 1.06 1.08 1.15 1.25 1.36 1.61 1.50 1.54 0.14 0.23 0.31 0.41 0.51 0.46 0.25 0.44 0.39 1.35 1.29 1.39 1.57 1.76 1.82 1.87 1.93 1.93 2.05 1.97 1.11 Expected Inflation (EAR %) Swap Liquidity=Swap Breakeven Breakeven-Breakeven Inflation (EAR %) (EAR %) Inflation RP (EAR %)=Swap Breakeven Expected Inflation (EAR %) 2.02 1.494 1.707 1.8048 1.964 2.074 2.224 2.344 2.4378 2.543 0.21 0.32 0.24 0.21 0.26 0.36 0.41 0.50 0.50 Breakeven Inflation = Expect ed Inflat ion + Inflation Risk Premium-Liquidity Premium Breakeven Inflation 3.50 0.44 0.63 0.65 0.71 0.71 0.61 0.85 0.90 Breakeven Inflation + Liquidit y Premium 3.00 3.00 2.50 2.50 2.50 2.00 1.50 1.35 1.00 1.29 1.39 1.57 1.76 2.05 1.97 1.82 1.87 1.93 1.93 2.02 2.00 1.50 0.14 1.00 0.50 0.23 0.31 1.06 1.08 0.41 0.51 0.46 0.25 0.44 0.39 2.00 1.50 1.61 1.50 1.54 0.21 0.32 1.00 0.24 0.21 0.26 0.36 0.41 0.50 1.21 0.50 1.15 1.25 1.36 0.50 -0.50 1.76 1.82 1.93 1.93 1.29 1.57 1.87 1.39 2y 0.00 3y 4y 5y 6y 7y 8y 9y 0.00 -1.00 3m 6m 1y 2y 3y 4y 5y 6y -1.50 3m 6m 1y 2y 3y 4y Break-even Inflation (EAR %) 5y 6y 7y 8y Nominal YTM (EAR %) 9y 10y 15y 20y Real YTM (EAR %) 30y Expected Inflation (EAR %) Difference Breakeven - Expected Inflation (EAR %) 7y 8y 9y 0.00 Break-even Inflation (EAR %) Liquidity=Swap Breakeven-Breakeven (EAR %) US S WI T 2 Curncy Da te PX_LAS T #NAME? 2.56 7/22/2004 2.51 7/23/2004 2.54 7/26 /2004 2.54 7/27/2004 2.56 7/28 /2004 2.52 7/29 /2004 2.55 7/30/2004 2.54 8 /2/2004 2.57 8 /3/2004 2.58 8 /4 /2004 2.52 8 /5/2004 2.56 8 /6 /2004 2.53 8 /9 /2004 2.4 3 8 /10/2004 2.4 8 8 /11/2004 2.4 6 8 /12/2004 2.52 8 /13/2004 2.53 8 /16 /2004 2.55 8 /17/2004 2.4 3 8 /18 /2004 2.4 8 /19 /2004 2.4 4 8 /20/2004 2.4 6 5 8 /23/2004 2.4 25 8 /24 /2004 2.39 5 8 /25/2004 2.355 8 /26 /2004 2.31 8 /27/2004 2.355 8 /31/2004 2.355 9 /1/2004 2.315 9 /2/2004 2.375 9 /3/2004 2.4 9 /6 /2004 2.39 9 /7/2004 2.4 9 /8 /2004 2.39 5 9 /9 /2004 2.4 8 9 /10/2004 2.4 6 5 9 /13/2004 2.4 4 5 9 /14 /2004 2.4 1 9 /15/2004 2.38 5 9 /16 /2004 2.39 5 11/5/2004 2.8 05 11/8 /2004 2.9 05 11/9 /2004 2.8 6 11/10/2004 2.78 11/11/2004 2.79 5 11/12/2004 2.8 1 11/15/2004 2.8 4 5 11/16 /2004 2.9 2 11/17/2004 2.9 1 11/18 /2004 2.9 05 11/19 /2004 2.9 2 11/22/2004 2.8 7 11/23/2004 2.8 75 11/24 /2004 2.8 75 11/25/2004 2.8 75 11/26 /2004 2.8 75 11/29 /2004 2.8 75 11/30/2004 2.8 75 12/1/2004 2.9 8 5 12/2/2004 2.9 4 5 12/3/2004 2.9 15 12/6 /2004 2.8 8 12/7/2004 2.9 12/8 /2004 2.9 1 12/9 /2004 2.9 2 12/10/2004 2.9 05 12/13/2004 2.9 4 12/14 /2004 2.9 2 12/15/2004 2.9 25 12/16 /2004 2.9 8 12/22/2004 3.005 12/23/2004 2.9 7 12/24 /2004 2.9 75 12/27/2004 2.9 75 12/28 /2004 2.9 75 12/29 /2004 2.9 25 12/30/2004 2.9 7 1/4 /2005 2.8 8 5 1/5/2005 2.9 2 1/6 /2005 2.8 5 1/7/2005 2.9 1 1/10/2005 2.8 6 5 1/11/2005 2.8 7 1/12/2005 2.8 5 1/13/2005 2.8 75 1/14 /2005 2.8 7 1/17/2005...
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This note was uploaded on 09/16/2013 for the course COMM 374 taught by Professor Lazrak during the Fall '08 term at The University of British Columbia.

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