Spreadsheet: vkaminski__40675__newPPI-5anj
Sheet: inputs

Today | 2000-03-16 00:00:00
 | 2000-02-25 00:00:00 | Date of prior approved |  |  | The following sheet is used to input all variables.
 |  | curve
 |  |  |  |  | 1) Enter current yield and prices for Gilts (Settlement date format yyyymmdd).
 |  |  |  |  | 2) Input most recent RPI index figure and date (date format yyyymmdd).
 |  |  |  |  | 3) RPI - PPI spread (based on historical relationship).
 |  |  |  |  | 4) Input bid - offer spreads
 | 1) |  |  |  |  | Settlement Date |  | 20000306
 | UK GILT Prices |  |  |  |  |  | UK Indexed GILT Prices |  |  | Inflation Assumption |  | 0.03
 |  |  |  | Quoted | Calculated |  |  |  |  | Quoted | Calculated | Calculated
 | Maturity Date | Coupon | Yield | Price | Price |  | Maturity Date | Coupon | Yield | Price | Price | Yield
 | 2000-12-07 00:00:00 | 8 | 6.216 | 101.28 |  |  | 2001-09-24 00:00:00 | 2.5 | 3.943 | 204.902475
 | 2001-11-06 00:00:00 | 7 | 6.313 | 101.04 |  |  | 2003-05-20 00:00:00 | 2.5 | 3.591 | 201.36005
 | 2002-06-07 00:00:00 | 7 | 6.303 | 101.43 |  |  | 2004-10-21 00:00:00 | 4.375 | 2.95 | 128.298009
 | 2003-06-10 00:00:00 | 8 | 6.277 | 105 |  |  | 2006-07-19 00:00:00 | 2 | 2.338 | 231.297798
 | 2004-11-26 00:00:00 | 6.75 | 6.032 | 102.87 |  |  | 2009-05-20 00:00:00 | 2.5 | 2.11 | 214.951275
 | 2005-12-07 00:00:00 | 8.5 | 6.003 | 111.97 |  |  | 2011-08-23 00:00:00 | 2.5 | 2.148 | 227.703649
 | 2006-12-07 00:00:00 | 7.5 | 5.927 | 108.62 |  |  | 2013-08-16 00:00:00 | 2.5 | 2.096 | 192.530648
 | 2007-12-07 00:00:00 | 7.25 | 5.815 | 108.82 |  |  | 2016-07-26 00:00:00 | 2.5 | 2.013 | 214.372576
 | 2011-07-12 00:00:00 | 9 | 5.427 | 129.96 |  |  | 2020-04-16 00:00:00 | 2.5 | 1.904 | 217.313461
 | 2012-08-06 00:00:00 | 9 | 5.365 | 132.62 |  |  | 2024-07-17 00:00:00 | 2.5 | 1.763 | 192.35038
 | 2015-12-07 00:00:00 | 8 | 4.983 | 132.61 |  |  | 2030-07-22 00:00:00 | 4.125 | 1.678 | 191.769924
 | 2021-06-07 00:00:00 | 8 | 4.698 | 144.02 |  |  | 2030-07-22 00:00:00 | 4.125
 | 2021-06-07 00:00:00 | 8
 |  |  |  |  |  |  |  |  |  | .
 | 2) |  |  |  |  |  |  |  | 5)
 |  |  |  |  |  |  |  |  | RESEARCH
 | Latest RPI |  |  |  |  |  |  |  | Update the ARMA X coefficients monthly
 | Date | 20000131 | RPI Index | 166.6
 |  |  |  |  |  |  |  |  | Coefficient
 | Latest PPI |  | PPI Index | 106.5 |  |  |  |  | AR{1} | 0.965725986
 | PPI (t-2) |  | PPI Index | 106 |  |  |  |  | MA{1} | -0.614020416
 |  |  |  |  |  |  |  |  | at(RPIt) | 0.022561136
 | 3) |  |  |  |  |  |  |  | Residual | 9.1549045e-05
 | RPI - PPI Spread
 |  | -0.005 | - historical spread between RPI and PPI
 | 4) | TRADERS | TRADERS |  | RPI | PPI
 |  | RPI annual rate | PPI annual rate |  | Index as of prior year | Index as of prior year
 | 1999-12-01 00:00:00 | 0.018 | 0.023
 | 2000-01-31 00:00:00 | 0.02 | 0.025
 |  | 0.02 | 0.025 | 1999-02-01 00:00:00 | 163.7 | 104.1
 |  | 0.022 | 0.027 |  | 164.1 | 104.7
 |  | 0.024 | 0.028 |  | 165.2 | 105.4
 |  | 0.025 | 0.03 |  | 165.6 | 105.5
 |  | 0.026 | 0.032 |  | 165.6 | 105.4
 |  | 0.027 | 0.034 |  | 165.1 | 105.6
 |  | 0.028 | 0.036 |  | 165.5 | 105.7
 |  | 0.0285 | 0.037 |  | 166.2 | 106
 |  | 0.029 | 0.0395 |  | 166.5 | 106
 |  | 0.03 | 0.0405 |  | 166.7 | 106
 |  | 0.031 | 0.038 |  | 167.3 | 106.3
 |  | 0.032 | 0.036 |  | 166.6 | 106.5
 |  | 0.031 | 0.034
 |  | 0.03 | 0.032
 |  | 0.029 | 0.038
 |  | 0.028 | 0.036
 |  | 0.026 | 0.034
 |  | 0.027 | 0.03
 |  | 0.025 | 0.027
 |  | 0.025 | 0.023
 |  | 0.025 | 0.02
 |  | 0.025 | 0.017
 | 2001-12-31 00:00:00 | 0.025 | 0.018
 | change log:
 | 1997-06-09 00:00:00 | [NAME] altered to create curve date as current date for cppi.xls/Oliver
 | 1997-08-29 00:00:00 | Introduced new gilt to replace short dated #1 gilt. - CW
 | 1998-01-28 00:00:00 | Replaced short dated No 1 Gilt - KB
 | 1998-03-25 00:00:00 | Replaced short dated IL gilt - KB