YiledCurveDynamics_InflationDecomposition_swaps(2)

Expectations quarterly cpi is expressed in yoy ie year

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: ns quarterly (CPI is expressed in YoY, i.e., year to year) QUARTERLY PX_LAST n periods Avg inflation 2.2 ECPIUS Q111 INDEX 3.4 ECPIUS Q211 INDEX 3.7 ECPIUS Q311 INDEX 3.3 1 3.3 ECPIUS Q411 INDEX 2.5 2 2.8992225432 ECPIUS Q112 INDEX 2.1 3 2.6321223044 ECPIUS Q212 INDEX 2 4 2.4737254136 ECPIUS Q312 INDEX 2.1 5 2.3988710524 ECPIUS Q412 INDEX 2.3 6 2.3823859103 ECPIUS Q113 INDEX #N/A N/A ECPIUS Q213 INDEX #N/A N/A ECPIUS Q313 INDEX #N/A N/A ECPIUS Q413 INDEX Maturity 3m 6m 9m 1y 15m 18m CPI expectations yearly (CPI is expressed in YoY, i.e., year to year) YEARLY PX_LAST Avg inflation 3.1 3.1 ECPIUS 11 INDEX 2.1 2.5987817 ECPIUS 12 INDEX 2.2 2.4656819 ECPIUS 13 INDEX Instruments prices and yields (10/14/2010) YLD_YTM_MID PX_last INFLATION_LINKED_INDICATOR -1.155 103.156 Y 912828AF Govt -0.943 105.000 Y 912828BD Govt -0.827 107.898 Y 912828CP Govt -0.709 109.875 Y 912828EA Govt -0.602 103.383 Y 912828QD Govt -0.379 117.508 Y 912828GX Govt -0.148 110.430 Y 912828JE Govt 0.012 114.523 Y 912828LA Govt 0.135 109.781 Y 912828NM Govt 0.250 103.672 Y 912828QV Govt 0.924 145.820 Y 912810FQ Govt 1.106 125.664 Y 912810QP Govt #N/A Field Not Applicable 0.095 #N/A Field Not Applicable C0793M Index #N/A Field Not Applicable 0.157 #N/A Field Not Applicable C0796M Index #N/A Field Not Applicable 0.191 #N/A Field Not Applicable C0791Y Index #N/A Field Not Applicable 0.343 #N/A Field Not Applicable C0792Y Index #N/A Field Not Applicable 0.559 #N/A Field Not Applicable C0793Y Index #N/A Field Not Applicable 0.857 #N/A Field Not Applicable C0794Y Index #N/A Field Not Applicable 1.156 #N/A Field Not Applicable C0795Y Index 6 Year bond missing C0797Y Index C0798Y Index C0799Y Index C07910Y Index C07915Y Index C07920Y Index C07925Y Index C07930Y Index #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable 1.717 1.945 2.068 2.296 2.898 3.059 3.129 3.229 #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable #N/A Field Not Applicable MATURITY 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 15y 30y 3m 6m 1y 2y 3y 4y 5y 7y 8y 9y 10y 15y 20y 25y 30y Maturity (Years) Coupon Inflation Swap (10/14/2010) Zero 2 1.494 3 1.707 4 1.8048 5 1.964 6 2.074 7 2.224 8 2.344 9 2.4378 10 2.543 Year 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 CPI (EAR) 1.646 2.987 1.209 0.903 1.118 1.378 1.658 1.900 1.900 1.900 1.900 Years from Now 1 2 3 4 5 6 7 8 9 Average CPI over the Period 1.209 1.056 1.077 1.152 1.253 1.360 1.612 1.495 1.540 World Economic Outlook, IMF, September 2011. Source: http://www.imf.org/external/pubs/ft/weo/2011/02/weodata/weoselgr.aspx The Budget and Economic Outlook: Fiscal Years 2010 to 2020, Congressional Budget Office, January 2010. Source: http://www.cbo.gov/ Months (Years) to Maturity 3m 6m 1y 2y 3y 4y 5y 6y 7y 8y 9y 10y 15y 20y 30y Nominal Break-even Real YTM YTM Inflation (EAR %) (EA...
View Full Document

This note was uploaded on 09/16/2013 for the course COMM 374 taught by Professor Lazrak during the Fall '08 term at UBC.

Ask a homework question - tutors are online