8th(固收)资料.ppt

5. CASH FLOWS, PRICES, YIELDS, AND RISKS OF TIPS 本金指数化： the index ratio IRt is defined as follows: issue date 发行日 dated date 起息日 Note that the reference index number for the first day of any calendar month is the CPI for the third preceding calendar month. The reference CPI applicable to April 1, 2014, will be the CPI of January 1, 2014, of that year, which only gets reported in February 2014. The reference CPI for any other day of the month is then obtained by simple linear interpolation. 例１：A TIP was issued on April 15, 2014, with a coupon rate of 3.5%. The first interest payment　date for this TIP was October 15, 2014. The reference CPI number for the issue date of April15, 1 2014, was 120.00. The reference CPI number for October 15, 2014, was l35.00. Then, for　a par value of $1 million, what was the coupon income on October 15, 2014? 例２：The Treasury issued an inflation-indexed bond with a CUSIP number 9128272M3, with the　following particulars: The issue date was February 6, 2014, and the dated date was January15, 2014. The issue was reopened on April 15, 2014. The bond was to mature on January 15,2024. The reference CPI number for the dated date stood at 158.43548. The coupon rate of　the bond was 3.375%.The Treasury published the following CPI numbers for the months that proceeded July 2014,as shown below: So, what is the accrued interest on this TIP as of July 2, 2014? 例３：The U.S. Treasury issued a TIP with the particulars shown below. For the settlement　date of October 18, 2014, the clean (fl at) price of this bond was 97.953125. What was its invoice price? 第八讲 通胀指数化债券INFLATION-INDEXED BONDS 《fixed Income Markets and Their Derivatives》 Suresh Sundareson 1.通胀指数化债券概况 inflation-linked bonds linkers 债券的本金或利息根据某种有效反映通货膨胀变动的指标( 如CPI、RPI、 GDP Deflator)定期进行调整的浮动债券品种。 designed to cut out the inflation risk of an investment. The first known inflation-indexed bond was issued by the Massachusetts Bay Company in 1780.