Message-ID: <31882479.1075857050371.JavaMail.evans@thyme>
Date: Fri, 31 Mar 2000 05:45:00 -0800 (PST)
From: zimin.lu@enron.com
To: vince.kaminski@enron.com, maureen.raymond@enron.com
Subject: UK Swap RPI Model
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---------------------- 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