Message-ID: <198050.1075856937129.JavaMail.evans@thyme> Date: Fri, 31 Mar 2000 07:01:00 -0800 (PST) From: vince.kaminski@enron.com To: vkaminski@aol.com Subject: UK Swap RPI Model Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-From: Vince J Kaminski X-To: vkaminski@aol.com X-cc: X-bcc: X-Folder: \Vincent_Kaminski_Jun2001_8\Notes Folders\Sent X-Origin: Kaminski-V X-FileName: vkamins.nsf ---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 03/31/2000 03:02 PM --------------------------- Zimin Lu 03/31/2000 01:45 PM To: Vince J Kaminski/HOU/ECT@ECT, Maureen Raymond/HOU/ECT@ECT cc: Subject: UK Swap RPI Model ---------------------- Forwarded by Zimin Lu/HOU/ECT on 03/31/2000 01:44 PM --------------------------- 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/365F > > 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 x34327