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Worksheet Title

8.38 Libor sheet for interpolation


8.39 RPI curve
8.40 Sheet for simulating a fixed-floating LPI inflation swap

8.38: Libor sheet for interpolation


Downloaded from Ch 8 Inflation swap
Spot =

8.38 Libor
File saved as 322582651.xls

4-Feb-08

time

z-c rates

gradient

0.000
0.019
0.079
0.249
0.499
0.751
1.003
1.247
1.499
1.751
2.003
2.247
2.499
2.751
3.003
3.247
3.499
3.751
4.008
4.249
4.507
4.756
5.005
5.255
5.504
5.753
6.005
6.252
6.501
6.753
7.005
7.249
7.501
7.753
8.005
8.252
8.504
8.756
9.014
9.252
9.504
9.762
10.011
10.252

5.545%
5.545%
5.533%
5.539%
5.449%
5.331%
5.210%
5.094%
4.991%
4.913%
4.865%
4.848%
4.847%
4.854%
4.864%
4.871%
4.878%
4.885%
4.891%
4.898%
4.904%
4.909%
4.914%
4.917%
4.920%
4.922%
4.925%
4.927%
4.930%
4.933%
4.936%
4.940%
4.943%
4.946%
4.947%
4.947%
4.947%
4.946%
4.947%
4.950%
4.953%
4.957%
4.959%
4.959%

0.000%
-0.203%
0.037%
-0.361%
-0.468%
-0.480%
-0.477%
-0.409%
-0.307%
-0.193%
-0.071%
-0.004%
0.029%
0.038%
0.032%
0.028%
0.026%
0.025%
0.026%
0.024%
0.022%
0.018%
0.014%
0.011%
0.010%
0.009%
0.010%
0.011%
0.012%
0.013%
0.015%
0.014%
0.011%
0.006%
-0.001%
-0.003%
-0.002%
0.003%
0.011%
0.014%
0.013%
0.009%
0.001%
-0.006%

Page 2
Printed 06/29/2016 21:54:07

10.510
10.759
11.008
11.258
11.507
11.756
12.008
12.255
12.507
12.759
13.011
13.255
13.507
13.759
14.011
14.255
14.507
14.759
15.016
15.255
15.507
15.764
16.014
16.263
16.512
16.762
17.014
17.260
17.510
17.762
18.014
18.258
18.510
18.762
19.014
19.258
19.510
19.762
20.014
20.260
20.512
20.770
21.019
21.260
21.518
21.767
22.016
22.266
22.515
22.764
23.016
23.263
23.512
23.764

8.38 Libor
File saved as 322582651.xls

4.958%
4.955%
4.951%
4.947%
4.942%
4.937%
4.932%
4.928%
4.923%
4.919%
4.915%
4.911%
4.907%
4.902%
4.898%
4.894%
4.889%
4.884%
4.879%
4.874%
4.868%
4.862%
4.856%
4.849%
4.843%
4.837%
4.830%
4.824%
4.817%
4.810%
4.803%
4.797%
4.790%
4.784%
4.777%
4.771%
4.764%
4.758%
4.751%
4.745%
4.739%
4.733%
4.727%
4.721%
4.715%
4.710%
4.704%
4.698%
4.692%
4.686%
4.680%
4.675%
4.669%
4.663%

-0.011%
-0.015%
-0.017%
-0.019%
-0.020%
-0.019%
-0.018%
-0.017%
-0.017%
-0.017%
-0.016%
-0.017%
-0.017%
-0.017%
-0.018%
-0.019%
-0.020%
-0.021%
-0.022%
-0.023%
-0.024%
-0.024%
-0.025%
-0.025%
-0.026%
-0.026%
-0.026%
-0.027%
-0.027%
-0.027%
-0.027%
-0.027%
-0.026%
-0.026%
-0.026%
-0.026%
-0.025%
-0.025%
-0.025%
-0.024%
-0.024%
-0.024%
-0.023%
-0.023%
-0.023%
-0.023%
-0.023%
-0.023%
-0.023%
-0.024%
-0.024%
-0.024%
-0.024%
-0.024%

Page 3
Printed 06/29/2016 21:54:07

24.016
24.263
24.515
24.767
25.019
25.263
25.515
25.767
26.025
26.263
26.515
26.773
27.022
27.263
27.521
27.770
28.019
28.268
28.518
28.770
29.022
29.266

8.38 Libor
File saved as 322582651.xls

4.657%
4.651%
4.644%
4.638%
4.632%
4.625%
4.619%
4.612%
4.605%
4.599%
4.592%
4.585%
4.579%
4.572%
4.565%
4.559%
4.552%
4.546%
4.539%
4.533%
4.526%
4.520%

-0.024%
-0.025%
-0.025%
-0.025%
-0.026%
-0.026%
-0.026%
-0.026%
-0.027%
-0.027%
-0.027%
-0.027%
-0.027%
-0.027%
-0.026%
-0.026%
-0.026%
-0.026%
-0.026%
-0.025%
-0.025%
0.000%

Page 4
Printed 06/29/2016 21:54:07

8.39: RPI curve


Downloaded from Ch 8 Inflation swap
Spot =
Last index date =

4-Feb-08
Dec-07

Forward
RPI curve

Jan-99
Feb-99
Mar-99
Apr-99
May-99
Jun-99
Jul-99
Aug-99
Sep-99
Oct-99
Nov-99
Dec-99
Jan-00
Feb-00
Mar-00
Apr-00
May-00
Jun-00
Jul-00
Aug-00
Sep-00
Oct-00
Nov-00
Dec-00
Jan-01
Feb-01
Mar-01
Apr-01
May-01
Jun-01
Jul-01
Aug-01
Sep-01
Oct-01

163.40
163.70
164.10
165.20
165.60
165.60
165.10
165.50
166.20
166.50
166.70
167.30
166.60
167.50
168.40
170.10
170.70
171.10
170.50
170.50
171.70
171.60
172.10
172.20
171.10
172.00
172.20
173.10
174.20
174.40
173.30
174.00
174.60
174.30

Nov-01
Dec-01
Jan-02
Feb-02
Mar-02
Apr-02
May-02
Jun-02
Jul-02
Aug-02
Sep-02
Oct-02
Nov-02
Dec-02
Jan-03
Feb-03
Mar-03
Apr-03
May-03
Jun-03
Jul-03
Aug-03
Sep-03
Oct-03
Nov-03
Dec-03
Jan-04
Feb-04
Mar-04
Apr-04
May-04
Jun-04
Jul-04
Aug-04
Sep-04
Oct-04
Nov-04
Dec-04
Jan-05
Feb-05
Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05

173.60
173.40
173.30
173.80
174.50
175.70
176.20
176.20
175.90
176.40
177.60
177.90
178.20
178.50
178.40
179.30
179.90
181.20
181.50
181.30
181.30
181.60
182.50
182.60
182.70
183.50
183.10
183.80
184.60
185.70
186.50
186.80
186.80
187.40
188.10
188.60
189.00
189.90
188.90
189.60
190.50
191.60
192.00
192.20
192.20
192.60
193.10
193.30
193.60
194.10

Jan-06
Feb-06
Mar-06
Apr-06
May-06
Jun-06
Jul-06
Aug-06
Sep-06
Oct-06
Nov-06
Dec-06
Jan-07
Feb-07
Mar-07
Apr-07
May-07
Jun-07
Jul-07
Aug-07
Sep-07
Oct-07
Nov-07
Dec-07
Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10

193.40
194.20
195.00
196.50
197.70
198.50
198.50
199.20
200.10
200.40
201.10
202.70
201.60
203.10
204.40
205.40
206.20
207.30
206.10
207.30
208.00
208.90
209.70
210.90
211.34
211.77
212.18
212.62
213.04
213.48
213.91
214.35
214.79
215.22
215.67
216.10
216.58
217.06
217.50
217.99
218.48
218.98
219.48
220.00
220.52
221.03
221.57
222.09
222.63
223.18

Mar-10
Apr-10
May-10
Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11
Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Jun-13
Jul-13
Aug-13
Sep-13
Oct-13
Nov-13
Dec-13
Jan-14
Feb-14
Mar-14
Apr-14

223.67
224.23
224.77
225.34
225.89
226.47
227.05
227.62
228.22
228.80
229.38
229.97
230.50
231.10
231.68
232.28
232.87
233.48
234.10
234.70
235.33
235.94
236.58
237.22
237.83
238.48
239.11
239.78
240.42
241.09
241.77
242.43
243.12
243.79
244.47
245.15
245.77
246.47
247.14
247.84
248.53
249.24
249.95
250.65
251.37
252.08
252.80
253.53
254.19
254.92

May-14
Jun-14
Jul-14
Aug-14
Sep-14
Oct-14
Nov-14
Dec-14
Jan-15
Feb-15
Mar-15
Apr-15
May-15
Jun-15
Jul-15
Aug-15
Sep-15
Oct-15
Nov-15
Dec-15
Jan-16
Feb-16
Mar-16
Apr-16
May-16
Jun-16
Jul-16
Aug-16
Sep-16
Oct-16
Nov-16
Dec-16
Jan-17
Feb-17
Mar-17
Apr-17
May-17
Jun-17
Jul-17
Aug-17
Sep-17
Oct-17
Nov-17
Dec-17
Jan-18
Feb-18
Mar-18
Apr-18
May-18
Jun-18

255.64
256.38
257.10
257.85
258.61
259.35
260.11
260.86
261.61
262.36
263.05
263.81
264.55
265.32
266.07
266.85
267.63
268.39
269.18
269.95
270.76
271.57
272.34
273.16
273.96
274.79
275.60
276.44
277.29
278.11
278.97
279.80
280.65
281.51
282.28
283.15
283.99
284.86
285.71
286.59
287.48
288.34
289.24
290.11
291.01
291.91
292.73
293.64
294.53
295.45

Jul-18
Aug-18
Sep-18
Oct-18
Nov-18
Dec-18
Jan-19
Feb-19
Mar-19
Apr-19
May-19
Jun-19
Jul-19
Aug-19
Sep-19
Oct-19
Nov-19
Dec-19
Jan-20
Feb-20
Mar-20
Apr-20
May-20
Jun-20
Jul-20
Aug-20
Sep-20
Oct-20
Nov-20
Dec-20
Jan-21
Feb-21
Mar-21
Apr-21
May-21
Jun-21
Jul-21
Aug-21
Sep-21
Oct-21
Nov-21
Dec-21
Jan-22
Feb-22
Mar-22
Apr-22
May-22
Jun-22
Jul-22
Aug-22

296.34
297.27
298.21
299.11
300.06
300.98
301.93
302.89
303.76
304.73
305.67
306.65
307.60
308.59
309.58
310.55
311.55
312.53
313.51
314.49
315.42
316.41
317.38
318.38
319.35
320.37
321.38
322.37
323.40
324.40
325.43
326.47
327.42
328.47
329.49
330.55
331.58
332.65
333.73
334.77
335.86
336.91
338.01
339.11
340.11
341.22
342.30
343.42
344.51
345.64

Sep-22
Oct-22
Nov-22
Dec-22
Jan-23
Feb-23
Mar-23
Apr-23
May-23
Jun-23
Jul-23
Aug-23
Sep-23
Oct-23
Nov-23
Dec-23
Jan-24
Feb-24
Mar-24
Apr-24
May-24
Jun-24
Jul-24
Aug-24
Sep-24
Oct-24
Nov-24
Dec-24
Jan-25
Feb-25
Mar-25
Apr-25
May-25
Jun-25
Jul-25
Aug-25
Sep-25
Oct-25
Nov-25
Dec-25
Jan-26
Feb-26
Mar-26
Apr-26
May-26
Jun-26
Jul-26
Aug-26
Sep-26
Oct-26

346.78
347.88
349.03
350.15
351.26
352.37
353.38
354.51
355.60
356.73
357.83
358.98
360.12
361.24
362.40
363.52
364.69
365.86
366.96
368.14
369.29
370.48
371.64
372.84
374.05
375.22
376.44
377.62
378.85
380.08
381.20
382.44
383.65
384.90
386.12
387.38
388.65
389.89
391.16
392.41
393.70
395.00
396.17
397.48
398.75
400.07
401.35
402.68
404.01
405.31

Nov-26
Dec-26
Jan-27
Feb-27
Mar-27
Apr-27
May-27
Jun-27
Jul-27
Aug-27
Sep-27
Oct-27
Nov-27
Dec-27
Jan-28
Feb-28
Mar-28
Apr-28
May-28
Jun-28
Jul-28
Aug-28
Sep-28
Oct-28
Nov-28
Dec-28
Jan-29
Feb-29
Mar-29
Apr-29
May-29
Jun-29
Jul-29
Aug-29
Sep-29
Oct-29
Nov-29
Dec-29
Jan-30
Feb-30
Mar-30
Apr-30
May-30
Jun-30
Jul-30
Aug-30
Sep-30
Oct-30
Nov-30
Dec-30

406.66
407.96
409.32
410.69
411.92
413.30
414.63
416.02
417.37
418.77
420.17
421.54
422.95
424.33
425.70
427.07
428.35
429.73
431.07
432.46
433.81
435.21
436.62
437.98
439.40
440.77
442.20
443.63
444.93
446.38
447.78
449.23
450.65
452.11
453.58
455.01
456.50
457.94
459.43
460.93
462.29
463.80
465.27
466.79
468.27
469.80
471.34
472.84
474.39
475.90

Jan-31
Feb-31
Mar-31
Apr-31
May-31
Jun-31
Jul-31
Aug-31
Sep-31
Oct-31
Nov-31
Dec-31
Jan-32
Feb-32
Mar-32
Apr-32
May-32
Jun-32
Jul-32
Aug-32
Sep-32
Oct-32
Nov-32
Dec-32
Jan-33
Feb-33
Mar-33
Apr-33
May-33
Jun-33
Jul-33
Aug-33
Sep-33
Oct-33
Nov-33
Dec-33
Jan-34
Feb-34
Mar-34
Apr-34
May-34
Jun-34
Jul-34
Aug-34
Sep-34
Oct-34
Nov-34
Dec-34
Jan-35
Feb-35

477.46
479.03
480.46
482.04
483.58
485.17
486.72
488.33
489.94
491.51
493.13
494.71
496.35
497.99
499.54
501.19
502.80
504.47
506.09
507.78
509.47
511.11
512.81
514.46
516.04
517.61
519.04
520.63
522.17
523.77
525.32
526.93
528.54
530.11
531.73
533.30
534.94
536.57
538.06
539.70
541.30
542.96
544.57
546.24
547.91
549.53
551.22
552.85
554.54
556.24

Mar-35
Apr-35
May-35
Jun-35
Jul-35
Aug-35
Sep-35
Oct-35
Nov-35
Dec-35
Jan-36
Feb-36
Mar-36
Apr-36
May-36
Jun-36
Jul-36
Aug-36
Sep-36
Oct-36
Nov-36
Dec-36
Jan-37
Feb-37
Mar-37
Apr-37
May-37
Jun-37
Jul-37
Aug-37
Sep-37
Oct-37
Nov-37
Dec-37
Jan-38
Feb-38
Mar-38
Apr-38
May-38
Jun-38
Jul-38
Aug-38
Sep-38
Oct-38
Nov-38
Dec-38
Jan-39
Feb-39
Mar-39
Apr-39

557.78
559.49
561.15
562.87
564.53
566.26
568.00
569.68
571.43
573.12
574.88
576.64
578.30
580.07
581.79
583.57
585.31
587.10
588.90
590.65
592.46
594.22
596.04
597.87
599.52
601.36
603.15
605.00
606.80
608.66
610.53
612.34
614.22
616.04
617.82
619.61
621.23
623.02
624.76
626.57
628.32
630.13
631.95
633.71
635.54
637.31
639.15
640.99
642.66
644.51

May-39
Jun-39
Jul-39
Aug-39
Sep-39
Oct-39
Nov-39
Dec-39
Jan-40
Feb-40
Mar-40
Apr-40
May-40
Jun-40
Jul-40
Aug-40
Sep-40
Oct-40
Nov-40
Dec-40
Jan-41
Feb-41
Mar-41
Apr-41
May-41
Jun-41
Jul-41
Aug-41
Sep-41
Oct-41
Nov-41
Dec-41
Jan-42
Feb-42
Mar-42
Apr-42
May-42
Jun-42
Jul-42
Aug-42
Sep-42
Oct-42
Nov-42
Dec-42
Jan-43
Feb-43
Mar-43
Apr-43
May-43
Jun-43

646.31
648.17
649.97
651.84
653.71
655.53
657.42
659.25
661.14
663.04
664.82
666.73
668.58
670.49
672.36
674.28
676.22
678.09
680.03
681.92
683.87
685.83
687.60
689.57
691.47
693.45
695.37
697.35
699.35
701.28
703.28
705.22
707.24
709.25
711.08
713.11
715.07
717.11
719.09
721.13
723.19
725.18
727.24
729.24
731.32
733.40
735.28
737.37
739.39
741.49

Jul-43
Aug-43
Sep-43
Oct-43
Nov-43
Dec-43
Jan-44
Feb-44
Mar-44
Apr-44
May-44
Jun-44
Jul-44
Aug-44
Sep-44
Oct-44
Nov-44
Dec-44
Jan-45
Feb-45
Mar-45
Apr-45
May-45
Jun-45
Jul-45
Aug-45
Sep-45
Oct-45
Nov-45
Dec-45
Jan-46
Feb-46
Mar-46
Apr-46
May-46
Jun-46
Jul-46
Aug-46
Sep-46
Oct-46
Nov-46
Dec-46
Jan-47
Feb-47
Mar-47
Apr-47
May-47
Jun-47
Jul-47
Aug-47

743.53
745.64
747.76
749.81
751.93
754.00
756.13
758.28
760.28
762.44
764.52
766.69
768.79
770.96
773.14
775.26
777.45
779.57
781.77
783.98
785.98
788.20
790.35
792.58
794.74
796.98
799.22
801.40
803.66
805.85
808.12
810.39
812.45
814.73
816.95
819.25
821.47
823.78
826.09
828.34
830.66
832.92
835.25
837.60
839.72
842.07
844.35
846.72
849.01
851.39

Sep-47
Oct-47
Nov-47
Dec-47
Jan-48
Feb-48
Mar-48
Apr-48
May-48
Jun-48
Jul-48
Aug-48
Sep-48
Oct-48
Nov-48
Dec-48
Jan-49
Feb-49
Mar-49
Apr-49
May-49
Jun-49
Jul-49
Aug-49
Sep-49
Oct-49
Nov-49
Dec-49
Jan-50
Feb-50
Mar-50
Apr-50
May-50
Jun-50
Jul-50
Aug-50
Sep-50
Oct-50
Nov-50
Dec-50
Jan-51
Feb-51
Mar-51
Apr-51
May-51
Jun-51
Jul-51
Aug-51
Sep-51
Oct-51

853.77
856.08
858.48
860.80
863.37
865.95
868.37
870.97
873.49
876.10
878.63
881.26
883.89
886.45
889.10
891.67
894.33
897.01
899.43
902.12
904.73
907.43
910.05
912.77
915.50
918.15
920.89
923.56
926.32
929.09
931.59
934.38
937.08
939.88
942.60
945.42
948.24
950.99
953.83
956.59
959.45
962.31
964.91
967.79
970.59
973.49
976.31
979.23
982.15
985.00

Nov-51
Dec-51
Jan-52
Feb-52
Mar-52
Apr-52
May-52
Jun-52
Jul-52
Aug-52
Sep-52
Oct-52
Nov-52
Dec-52
Jan-53
Feb-53
Mar-53
Apr-53
May-53
Jun-53
Jul-53
Aug-53
Sep-53
Oct-53
Nov-53
Dec-53
Jan-54
Feb-54
Mar-54
Apr-54
May-54
Jun-54
Jul-54
Aug-54
Sep-54
Oct-54
Nov-54
Dec-54
Jan-55
Feb-55
Mar-55
Apr-55
May-55
Jun-55
Jul-55
Aug-55
Sep-55
Oct-55
Nov-55
Dec-55

987.94
990.80
993.76
996.73
999.51
1002.50
1005.40
1008.41
1011.32
1014.35
1017.38
1020.32
1023.37
1026.33
1029.40
1032.47
1035.26
1038.35
1041.36
1044.47
1047.49
1050.62
1053.76
1056.81
1059.97
1063.03
1066.21
1069.40
1072.28
1075.49
1078.60
1081.82
1084.95
1088.19
1091.45
1094.60
1097.87
1101.05
1104.34
1107.64
1110.63
1113.95
1117.17
1120.51
1123.75
1127.11
1130.48
1133.75
1137.14
1140.43

8.40: Sheet for simulating a fixed-floating LPI inflation swap


Spot =

4-Feb-08

Constant Principal
Base indexing date
Start date
Maturity date
Frequency of Uplift
Frequency of Cashflow
Direction
Lag
Day count
Use day count in calculating CFs?
LPI constraints

Floating
1,186,857
5-Oct-2008
5-Oct-2009
5-Oct-2029
a
q
Pay
-1

Lower
1.00%

Required Value =
Static growth rate from RPI
Simulated growth rate from RPI
Simulated growth rate from LPI
Adjusted Break-even Growth rate

#VALUE! pa.

Floating side
Dates

5-Jan-10
5-Apr-10
5-Jul-10
5-Oct-10
5-Jan-11
5-Apr-11
5-Jul-11
5-Oct-11
5-Jan-12
5-Apr-12
5-Jul-12
5-Oct-12
7-Jan-13
5-Apr-13
5-Jul-13
7-Oct-13
6-Jan-14
7-Apr-14
7-Jul-14
6-Oct-14

Fixed
1,186,857 m GBP
5-Oct-2008
5-Oct-2009
5-Oct-2029 yrs
a
q
Receive
months
Act/365
n
Upper
3.00% pa.
0
#VALUE! pa.
#VALUE! pa.
#VALUE! pa.

Fixed side
Real Manual
Principal

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

Dates

5-Jan-10
5-Apr-10
5-Jul-10
5-Oct-10
5-Jan-11
5-Apr-11
5-Jul-11
5-Oct-11
5-Jan-12
5-Apr-12
5-Jul-12
5-Oct-12
7-Jan-13
5-Apr-13
5-Jul-13
7-Oct-13
6-Jan-14
7-Apr-14
7-Jul-14
6-Oct-14

Real Manual
Principal

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

5-Jan-15
6-Apr-15
6-Jul-15
5-Oct-15
5-Jan-16
5-Apr-16
5-Jul-16
5-Oct-16
5-Jan-17
5-Apr-17
5-Jul-17
5-Oct-17
5-Jan-18
5-Apr-18
5-Jul-18
5-Oct-18
7-Jan-19
5-Apr-19
5-Jul-19
7-Oct-19
6-Jan-20
6-Apr-20
6-Jul-20
5-Oct-20
5-Jan-21
5-Apr-21
5-Jul-21
5-Oct-21
5-Jan-22
5-Apr-22
5-Jul-22
5-Oct-22
5-Jan-23
5-Apr-23
5-Jul-23
5-Oct-23
5-Jan-24
5-Apr-24
5-Jul-24
7-Oct-24
6-Jan-25
7-Apr-25
7-Jul-25
6-Oct-25
5-Jan-26
6-Apr-26
6-Jul-26
5-Oct-26
5-Jan-27
5-Apr-27
5-Jul-27
5-Oct-27
5-Jan-28
5-Apr-28

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

5-Jan-15
6-Apr-15
6-Jul-15
5-Oct-15
5-Jan-16
5-Apr-16
5-Jul-16
5-Oct-16
5-Jan-17
5-Apr-17
5-Jul-17
5-Oct-17
5-Jan-18
5-Apr-18
5-Jul-18
5-Oct-18
7-Jan-19
5-Apr-19
5-Jul-19
7-Oct-19
6-Jan-20
6-Apr-20
6-Jul-20
5-Oct-20
5-Jan-21
5-Apr-21
5-Jul-21
5-Oct-21
5-Jan-22
5-Apr-22
5-Jul-22
5-Oct-22
5-Jan-23
5-Apr-23
5-Jul-23
5-Oct-23
5-Jan-24
5-Apr-24
5-Jul-24
7-Oct-24
6-Jan-25
7-Apr-25
7-Jul-25
6-Oct-25
5-Jan-26
6-Apr-26
6-Jul-26
5-Oct-26
5-Jan-27
5-Apr-27
5-Jul-27
5-Oct-27
5-Jan-28
5-Apr-28

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

5-Jul-28
5-Oct-28
5-Jan-29
5-Apr-29
5-Jul-29
5-Oct-29

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

5-Jul-28
5-Oct-28
5-Jan-29
5-Apr-29
5-Jul-29
5-Oct-29

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
End of Model

0
0

Note: spread sheet will handle upto

Last published index date

400 cashflows

Dec-07

Frequency of Uplift
Frequency of Cashflow

12
3

No. of Periods
No. of CFs
End month
End date

Turn simulation on? (Y / N)


Volatility for Simulation

Floating side

12
3

months
months

80.05
80

80.05
80

240
5-Oct-29

240
5-Oct-29

y
1.100% pa.

Day count

Manual
principal

Time

Z-c rate

DFs

Base indexing date


Start date
5-Oct-09
Uplift dates
0
3
6
9
12
15
18
21
24
27
30
33
36
39
42
45
48
51
54
57
60

5-Oct-09
5-Jan-10
5-Apr-10
5-Jul-10
5-Oct-10
5-Jan-11
5-Apr-11
5-Jul-11
5-Oct-11
5-Jan-12
5-Apr-12
5-Jul-12
5-Oct-12
5-Jan-13
5-Apr-13
5-Jul-13
5-Oct-13
5-Jan-14
5-Apr-14
5-Jul-14
5-Oct-14

5-Oct-09
5-Jan-10
5-Apr-10
5-Jul-10
5-Oct-10
5-Jan-11
5-Apr-11
5-Jul-11
5-Oct-11
5-Jan-12
5-Apr-12
5-Jul-12
5-Oct-12
7-Jan-13
5-Apr-13
5-Jul-13
7-Oct-13
6-Jan-14
7-Apr-14
7-Jul-14
6-Oct-14

0.252
0.247
0.249
0.252
0.252
0.247
0.249
0.252
0.252
0.249
0.249
0.252
0.258
0.241
0.249
0.258
0.249
0.249
0.249
0.249

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

1.668
1.921
2.167
2.416
2.668
2.921
3.167
3.416
3.668
3.921
4.170
4.419
4.671
4.929
5.170
5.419
5.677
5.926
6.175
6.425
6.674

4.881%
4.853%
4.847%
4.852%
4.860%
4.869%
4.876%
4.883%
4.889%
4.896%
4.902%
4.907%
4.912%
4.916%
4.919%
4.922%
4.924%
4.926%
4.929%
4.932%

0.910522
0.900165
0.889474
0.878567
0.867664
0.857098
0.846545
0.835998
0.825567
0.815350
0.805242
0.795145
0.784966
0.775576
0.766002
0.756244
0.746917
0.737693
0.728568
0.719534

Oct-09
Oct-09
Oct-09
Oct-09
Oct-10
Oct-10
Oct-10
Oct-10
Oct-11
Oct-11
Oct-11
Oct-11
Oct-12
Oct-12
Oct-12
Oct-12
Oct-13
Oct-13
Oct-13
Oct-13
Oct-14

63
66
69
72
75
78
81
84
87
90
93
96
99
102
105
108
111
114
117
120
123
126
129
132
135
138
141
144
147
150
153
156
159
162
165
168
171
174
177
180
183
186
189
192
195
198
201
204
207
210
213
216
219
222

5-Jan-15
5-Apr-15
5-Jul-15
5-Oct-15
5-Jan-16
5-Apr-16
5-Jul-16
5-Oct-16
5-Jan-17
5-Apr-17
5-Jul-17
5-Oct-17
5-Jan-18
5-Apr-18
5-Jul-18
5-Oct-18
5-Jan-19
5-Apr-19
5-Jul-19
5-Oct-19
5-Jan-20
5-Apr-20
5-Jul-20
5-Oct-20
5-Jan-21
5-Apr-21
5-Jul-21
5-Oct-21
5-Jan-22
5-Apr-22
5-Jul-22
5-Oct-22
5-Jan-23
5-Apr-23
5-Jul-23
5-Oct-23
5-Jan-24
5-Apr-24
5-Jul-24
5-Oct-24
5-Jan-25
5-Apr-25
5-Jul-25
5-Oct-25
5-Jan-26
5-Apr-26
5-Jul-26
5-Oct-26
5-Jan-27
5-Apr-27
5-Jul-27
5-Oct-27
5-Jan-28
5-Apr-28

5-Jan-15
6-Apr-15
6-Jul-15
5-Oct-15
5-Jan-16
5-Apr-16
5-Jul-16
5-Oct-16
5-Jan-17
5-Apr-17
5-Jul-17
5-Oct-17
5-Jan-18
5-Apr-18
5-Jul-18
5-Oct-18
7-Jan-19
5-Apr-19
5-Jul-19
7-Oct-19
6-Jan-20
6-Apr-20
6-Jul-20
5-Oct-20
5-Jan-21
5-Apr-21
5-Jul-21
5-Oct-21
5-Jan-22
5-Apr-22
5-Jul-22
5-Oct-22
5-Jan-23
5-Apr-23
5-Jul-23
5-Oct-23
5-Jan-24
5-Apr-24
5-Jul-24
7-Oct-24
6-Jan-25
7-Apr-25
7-Jul-25
6-Oct-25
5-Jan-26
6-Apr-26
6-Jul-26
5-Oct-26
5-Jan-27
5-Apr-27
5-Jul-27
5-Oct-27
5-Jan-28
5-Apr-28

0.249
0.249
0.249
0.249
0.252
0.249
0.249
0.252
0.252
0.247
0.249
0.252
0.252
0.247
0.249
0.252
0.258
0.241
0.249
0.258
0.249
0.249
0.249
0.249
0.252
0.247
0.249
0.252
0.252
0.247
0.249
0.252
0.252
0.247
0.249
0.252
0.252
0.249
0.249
0.258
0.249
0.249
0.249
0.249
0.249
0.249
0.249
0.249
0.252
0.247
0.249
0.252
0.252
0.249

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

6.923
7.173
7.422
7.671
7.923
8.173
8.422
8.674
8.926
9.173
9.422
9.674
9.926
10.173
10.422
10.674
10.932
11.173
11.422
11.679
11.929
12.178
12.427
12.677
12.929
13.175
13.425
13.677
13.929
14.175
14.425
14.677
14.929
15.175
15.425
15.677
15.929
16.178
16.427
16.685
16.934
17.184
17.433
17.682
17.932
18.181
18.430
18.679
18.932
19.178
19.427
19.679
19.932
20.181

4.935%
4.939%
4.942%
4.945%
4.947%
4.947%
4.947%
4.946%
4.947%
4.949%
4.952%
4.956%
4.958%
4.959%
4.958%
4.956%
4.952%
4.948%
4.944%
4.939%
4.934%
4.929%
4.925%
4.920%
4.916%
4.912%
4.908%
4.904%
4.899%
4.895%
4.891%
4.886%
4.881%
4.875%
4.870%
4.864%
4.858%
4.852%
4.845%
4.839%
4.832%
4.826%
4.819%
4.812%
4.806%
4.799%
4.792%
4.786%
4.779%
4.773%
4.766%
4.760%
4.753%
4.747%

0.710587
0.701718
0.692949
0.684309
0.675731
0.667427
0.659277
0.651137
0.643045
0.635129
0.627142
0.619155
0.611310
0.603829
0.596470
0.589210
0.581960
0.575310
0.568556
0.561691
0.555138
0.548661
0.542256
0.535928
0.529611
0.523510
0.517425
0.511359
0.505383
0.499624
0.493892
0.488190
0.482585
0.477192
0.471834
0.466508
0.461269
0.456171
0.451153
0.446051
0.441188
0.436398
0.431677
0.427024
0.422436
0.417910
0.413445
0.409040
0.404643
0.400396
0.396155
0.391920
0.387735
0.383644

Oct-14
Oct-14
Oct-14
Oct-15
Oct-15
Oct-15
Oct-15
Oct-16
Oct-16
Oct-16
Oct-16
Oct-17
Oct-17
Oct-17
Oct-17
Oct-18
Oct-18
Oct-18
Oct-18
Oct-19
Oct-19
Oct-19
Oct-19
Oct-20
Oct-20
Oct-20
Oct-20
Oct-21
Oct-21
Oct-21
Oct-21
Oct-22
Oct-22
Oct-22
Oct-22
Oct-23
Oct-23
Oct-23
Oct-23
Oct-24
Oct-24
Oct-24
Oct-24
Oct-25
Oct-25
Oct-25
Oct-25
Oct-26
Oct-26
Oct-26
Oct-26
Oct-27
Oct-27
Oct-27

225
228
231
234
237
240
243
246
249
252
255
258
261
264
267
270
273
276
279
282
285
288
291
294
297
300
303
306
309
312
315
318
321
324
327
330
333
336
339
342
345
348
351
354
357
360
363
366
369
372
375
378
381
384

5-Jul-28
5-Oct-28
5-Jan-29
5-Apr-29
5-Jul-29
5-Oct-29

5-Jul-28
5-Oct-28
5-Jan-29
5-Apr-29
5-Jul-29
5-Oct-29

0.249
0.252
0.252
0.247
0.249
0.252

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

20.430
20.682
20.934
21.181
21.430
21.682

4.741%
4.735%
4.729%
4.723%
4.718%
4.712%

0.379601
0.375562
0.371572
0.367717
0.363867
0.360025

Oct-27
Oct-28
Oct-28
Oct-28
Oct-28
Oct-29

387
390
393
396
399
402
405
408
411
414
417
420
423
426
429
432
435
438
441
444
447
450
453
456
459
462
465
468
471
474
477
480
483
486
489
492
495
498
501
504
507
510
513
516
519
522
525
528
531
534
537
540
543
546

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

549
552
555
558
561
564
567
570
573
576
579
582
585
588
591
594
597
600
603
606
609
612
615
618
621
624
627
630
633
636
639
642
645
648
651
654
657
660
663
666
669
672
675
678
681
684
687
690
693
696
699
702
705
708

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

711
714
717
720
723
726
729
732
735
738
741
744
747
750
753
756
759
762
765
768
771
774
777
780
783
786
789
792
795
798
801
804
807
810
813
816
819
822
825
828
831
834
837
840
843
846
849
852
855
858
861
864
867
870

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

873
876
879
882
885
888
891
894
897
900
903
906
909
912
915
918
921
924
927
930
933
936
939
942
945
948
951
954
957
960
963
966
969
972
975
978
981
984
987
990
993
996
999
1002
1005
1008
1011
1014
1017
1020
1023
1026
1029
1032

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

1035
1038
1041
1044
1047
1050
1053
1056
1059
1062
1065
1068
1071
1074
1077
1080
1083
1086
1089
1092
1095
1098
1101
1104
1107
1110
1113
1116
1119
1122
1125
1128
1131
1134
1137
1140
1143
1146
1149
1152
1155
1158
1161
1164
1167
1170
1173
1176
1179
1182
1185
1188
1191
1194

0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000
0.000

1197
1200

0.000
0.000

Frequency table
M
1
Q
3
S
6
A
12

This version calculates the growth rate using continuous compound

This version averages the results of normal and antithetic simulation

At this point, it runs two simulations simultaneously on the LPI AND

Static RPI structure ---->

Reference
Oct-08
Nov-09
Reference

Index
215.22
221.57
Index

Nov-09
Nov-09
Nov-09
Nov-09
Nov-10
Nov-10
Nov-10
Nov-10
Nov-11
Nov-11
Nov-11
Nov-11
Nov-12
Nov-12
Nov-12
Nov-12
Nov-13
Nov-13
Nov-13
Nov-13
Nov-14

221.57
221.57
221.57
221.57
228.22
228.22
228.22
228.22
235.33
235.33
235.33
235.33
243.12
243.12
243.12
243.12
251.37
251.37
251.37
251.37
260.11

Accumulative
Index

102.95%
102.95%
102.95%
102.95%
106.04%
106.04%
106.04%
106.04%
109.34%
109.34%
109.34%
109.34%
112.96%
112.96%
112.96%
112.96%
116.80%
116.80%
116.80%
116.80%
120.86%

CF
-76,795,184

-1,221,840
-1,221,840
-1,221,840
-1,221,840
-1,258,520
-1,258,520
-1,258,520
-1,258,520
-1,297,723
-1,297,723
-1,297,723
-1,297,723
-1,340,683
-1,340,683
-1,340,683
-1,340,683
-1,386,203
-1,386,203
-1,386,203
-1,386,203

Implied
Average
Growth
rate pa.

Volatility pa.

2.678%

1.100%

2.958%

1.100%

3.068%

1.100%

3.248%

1.100%

3.321%

1.100%

3.427%

1.100%

Nov-14
Nov-14
Nov-14
Nov-15
Nov-15
Nov-15
Nov-15
Nov-16
Nov-16
Nov-16
Nov-16
Nov-17
Nov-17
Nov-17
Nov-17
Nov-18
Nov-18
Nov-18
Nov-18
Nov-19
Nov-19
Nov-19
Nov-19
Nov-20
Nov-20
Nov-20
Nov-20
Nov-21
Nov-21
Nov-21
Nov-21
Nov-22
Nov-22
Nov-22
Nov-22
Nov-23
Nov-23
Nov-23
Nov-23
Nov-24
Nov-24
Nov-24
Nov-24
Nov-25
Nov-25
Nov-25
Nov-25
Nov-26
Nov-26
Nov-26
Nov-26
Nov-27
Nov-27
Nov-27

260.11
260.11
260.11
269.18
269.18
269.18
269.18
278.97
278.97
278.97
278.97
289.24
289.24
289.24
289.24
300.06
300.06
300.06
300.06
311.55
311.55
311.55
311.55
323.40
323.40
323.40
323.40
335.86
335.86
335.86
335.86
349.03
349.03
349.03
349.03
362.40
362.40
362.40
362.40
376.44
376.44
376.44
376.44
391.16
391.16
391.16
391.16
406.66
406.66
406.66
406.66
422.95
422.95
422.95

120.86%
120.86%
120.86%
125.07%
125.07%
125.07%
125.07%
129.62%
129.62%
129.62%
129.62%
134.39%
134.39%
134.39%
134.39%
139.42%
139.42%
139.42%
139.42%
144.76%
144.76%
144.76%
144.76%
150.26%
150.26%
150.26%
150.26%
156.05%
156.05%
156.05%
156.05%
162.17%
162.17%
162.17%
162.17%
168.38%
168.38%
168.38%
168.38%
174.91%
174.91%
174.91%
174.91%
181.75%
181.75%
181.75%
181.75%
188.95%
188.95%
188.95%
188.95%
196.52%
196.52%
196.52%

-1,434,402
-1,434,402
-1,434,402
-1,434,402
-1,484,396
-1,484,396
-1,484,396
-1,484,396
-1,538,385
-1,538,385
-1,538,385
-1,538,385
-1,595,018
-1,595,018
-1,595,018
-1,595,018
-1,654,677
-1,654,677
-1,654,677
-1,654,677
-1,718,045
-1,718,045
-1,718,045
-1,718,045
-1,783,383
-1,783,383
-1,783,383
-1,783,383
-1,852,084
-1,852,084
-1,852,084
-1,852,084
-1,924,736
-1,924,736
-1,924,736
-1,924,736
-1,998,444
-1,998,444
-1,998,444
-1,998,444
-2,075,878
-2,075,878
-2,075,878
-2,075,878
-2,157,087
-2,157,087
-2,157,087
-2,157,087
-2,242,510
-2,242,510
-2,242,510
-2,242,510
-2,332,394
-2,332,394

3.435%

1.100%

3.563%

1.100%

3.615%

1.100%

3.672%

1.100%

3.738%

1.100%

3.743%

1.100%

3.780%

1.100%

3.848%

1.100%

3.758%

1.100%

3.771%

1.100%

3.848%

1.100%

3.894%

1.100%

3.930%

1.100%

Nov-27
Nov-28
Nov-28
Nov-28
Nov-28
Nov-29

422.95
439.40
439.40
439.40
439.40
456.50

196.52%
204.16%
204.16%
204.16%
204.16%
212.10%

-2,332,394
-2,332,394
-2,423,070
-2,423,070
-2,423,070
-2,423,070

3.804%

1.100%

3.817%

1.100%

wth rate using continuous compounding

lts of normal and antithetic simulations, and then estimates fixed rate

lations simultaneously on the LPI AND the RPI structures

Forward simulation --->


rv

Simulated
growth

106.7%

4.121%

Time
(years)
1.08

1.00

-31%

2.613%

1.00

121%

4.395%

1.00

-95%

2.206%

1.01

107%

4.511%

1.00

114%

4.659%

Unbounded RPI structure ---->


Simulated Accumulated
Index
Index
215.22
224.28

224.28
224.28
224.28
224.28
230.22
230.22
230.22
230.22
240.56
240.56
240.56
240.56
245.93
245.93
245.93
245.93
257.28
257.28
257.28
257.28
269.55

104.21%
104.21%
104.21%
104.21%
106.97%
106.97%
106.97%
106.97%
111.77%
111.77%
111.77%
111.77%
114.27%
114.27%
114.27%
114.27%
119.54%
119.54%
119.54%
119.54%
125.24%

Bounded LPI structure ---->


Simulated
CF
Index
-75,898,082
215.22
224.28

-1,236,791
-1,236,791
-1,236,791
-1,236,791
-1,269,535
-1,269,535
-1,269,535
-1,269,535
-1,326,577
-1,326,577
-1,326,577
-1,326,577
-1,356,172
-1,356,172
-1,356,172
-1,356,172
-1,418,756
-1,418,756
-1,418,756
-1,418,756

228.11

238.36

240.20

251.28

259.20

1.00

-261%

0.558%

1.00

-164%

1.761%

1.00

15%

3.776%

1.00

-27%

3.371%

1.01

-91%

2.751%

1.00

0%

3.732%

1.00

-202%

1.552%

1.00

-51%

3.283%

1.00

70%

4.527%

1.01

-132%

2.340%

1.00

158%

5.572%

1.00

38%

4.290%

1.00

131%

5.365%

269.55
269.55
269.55
271.05
271.05
271.05
271.05
275.87
275.87
275.87
275.87
286.49
286.49
286.49
286.49
296.31
296.31
296.31
296.31
304.57
304.57
304.57
304.57
316.15
316.15
316.15
316.15
321.10
321.10
321.10
321.10
331.82
331.82
331.82
331.82
347.18
347.18
347.18
347.18
355.40
355.40
355.40
355.40
375.77
375.77
375.77
375.77
392.24
392.24
392.24
392.24
413.86
413.86
413.86

125.24%
125.24%
125.24%
125.94%
125.94%
125.94%
125.94%
128.18%
128.18%
128.18%
128.18%
133.11%
133.11%
133.11%
133.11%
137.67%
137.67%
137.67%
137.67%
141.51%
141.51%
141.51%
141.51%
146.89%
146.89%
146.89%
146.89%
149.19%
149.19%
149.19%
149.19%
154.17%
154.17%
154.17%
154.17%
161.31%
161.31%
161.31%
161.31%
165.13%
165.13%
165.13%
165.13%
174.59%
174.59%
174.59%
174.59%
182.25%
182.25%
182.25%
182.25%
192.29%
192.29%
192.29%

-1,486,420
-1,486,420
-1,486,420
-1,486,420
-1,494,730
-1,494,730
-1,494,730
-1,494,730
-1,521,290
-1,521,290
-1,521,290
-1,521,290
-1,579,836
-1,579,836
-1,579,836
-1,579,836
-1,634,003
-1,634,003
-1,634,003
-1,634,003
-1,679,572
-1,679,572
-1,679,572
-1,679,572
-1,743,431
-1,743,431
-1,743,431
-1,743,431
-1,770,703
-1,770,703
-1,770,703
-1,770,703
-1,829,803
-1,829,803
-1,829,803
-1,829,803
-1,914,539
-1,914,539
-1,914,539
-1,914,539
-1,959,873
-1,959,873
-1,959,873
-1,959,873
-2,072,169
-2,072,169
-2,072,169
-2,072,169
-2,162,995
-2,162,995
-2,162,995
-2,162,995
-2,282,217
-2,282,217

256.25

261.95

272.03

279.06

285.65

296.51

298.82

308.80

322.04

324.53

343.12

348.91

363.27

1.00

34%

4.186%

1.00

63%

4.500%

413.86
431.55
431.55
431.55
431.55
451.41

192.29%
200.51%
200.51%
200.51%
200.51%
209.74%

-2,282,217
-2,282,217
-2,379,788
-2,379,788
-2,379,788
-2,379,788

369.78

382.07

Antithetic simulation --->

Bounded LPI structure ---->


Lower
bound

Upper
bound

Bounded
uplift

Bounded
Index

1.08%

3.25%

103.3%

215.22
222.23

1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%

3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%

102.6%

103.0%

102.2%

103.0%

103.0%

222.23
222.23
222.23
222.23
228.11
228.11
228.11
228.11
234.96
234.96
234.96
234.96
240.20
240.20
240.20
240.20
247.40
247.40
247.40
247.40
254.83

Accumulated
Index

antithetic
rv

CF
-70,979,416

-106.7%

103.25%
103.25%
103.25%
103.25%
105.99%
105.99%
105.99%
105.99%
109.17%
109.17%
109.17%
109.17%
111.60%
111.60%
111.60%
111.60%
114.95%
114.95%
114.95%
114.95%
118.40%

-1,225,487
-1,225,487
-1,225,487
-1,225,487
-1,257,931
-1,257,931
-1,257,931
-1,257,931
-1,295,669
-1,295,669
-1,295,669
-1,295,669
-1,324,575
-1,324,575
-1,324,575
-1,324,575
-1,364,312
-1,364,312
-1,364,312
-1,364,312

2049910.86
2049910.86
2049910.86
2049910.86
2104181.637
2104181.637
2104181.637
2104181.637
5604787.608
5604787.608
5604787.608
5604787.608
5729829.403
5729829.403
5729829.403
5729829.403
9872747.704
9872747.704
9872747.704
9872747.704
14720738.29

31%

-121%

95%

-107%

-114%

1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%

3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%

101.0%

101.8%

103.0%

103.0%

102.8%

103.0%

101.6%

103.0%

103.0%

102.4%

103.0%

103.0%

103.0%

254.83
254.83
254.83
257.37
257.37
257.37
257.37
261.95
261.95
261.95
261.95
269.81
269.81
269.81
269.81
277.90
277.90
277.90
277.90
285.65
285.65
285.65
285.65
294.22
294.22
294.22
294.22
298.82
298.82
298.82
298.82
307.79
307.79
307.79
307.79
317.02
317.02
317.02
317.02
324.53
324.53
324.53
324.53
334.26
334.26
334.26
334.26
344.29
344.29
344.29
344.29
354.62
354.62
354.62

118.40%
118.40%
118.40%
119.58%
119.58%
119.58%
119.58%
121.71%
121.71%
121.71%
121.71%
125.36%
125.36%
125.36%
125.36%
129.12%
129.12%
129.12%
129.12%
132.72%
132.72%
132.72%
132.72%
136.70%
136.70%
136.70%
136.70%
138.84%
138.84%
138.84%
138.84%
143.01%
143.01%
143.01%
143.01%
147.30%
147.30%
147.30%
147.30%
150.79%
150.79%
150.79%
150.79%
155.31%
155.31%
155.31%
155.31%
159.97%
159.97%
159.97%
159.97%
164.77%
164.77%
164.77%

-1,405,242
-1,405,242
-1,405,242
-1,405,242
-1,419,294
-1,419,294
-1,419,294
-1,419,294
-1,444,514
-1,444,514
-1,444,514
-1,444,514
-1,487,849
-1,487,849
-1,487,849
-1,487,849
-1,532,485
-1,532,485
-1,532,485
-1,532,485
-1,575,223
-1,575,223
-1,575,223
-1,575,223
-1,622,479
-1,622,479
-1,622,479
-1,622,479
-1,647,860
-1,647,860
-1,647,860
-1,647,860
-1,697,296
-1,697,296
-1,697,296
-1,697,296
-1,748,214
-1,748,214
-1,748,214
-1,748,214
-1,789,610
-1,789,610
-1,789,610
-1,789,610
-1,843,298
-1,843,298
-1,843,298
-1,843,298
-1,898,597
-1,898,597
-1,898,597
-1,898,597
-1,955,555
-1,955,555

14720738.29
14720738.29
14720738.29
13679493.28
13679493.28
13679493.28
13679493.28
13922563.88
13922563.88
13922563.88
13922563.88
16680901.39
16680901.39
16680901.39
16680901.39
18409296.29
18409296.29
18409296.29
18409296.29
18922697.57
18922697.57
18922697.57
18922697.57
21933299.37
21933299.37
21933299.37
21933299.37
22276400.77
22276400.77
22276400.77
22276400.77
24028788.83
24028788.83
24028788.83
24028788.83
30161261.39
30161261.39
30161261.39
30161261.39
30875438.53
30875438.53
30875438.53
30875438.53
41503355.1
41503355.1
41503355.1
41503355.1
47945712
47945712
47945712
47945712
59236743.79
59236743.79
59236743.79

261%

164%

-15%

27%

91%

0%

202%

51%

-70%

132%

-158%

-38%

-131%

1.00%
1.00%
1.00%
1.00%
1.00%
1.00%

3.00%
3.00%
3.00%
3.00%
3.00%
3.00%

103.0%

103.0%

354.62
365.26
365.26
365.26
365.26
376.22

164.77%
169.71%
169.71%
169.71%
169.71%
174.80%

-1,955,555
-1,955,555
-2,014,222
-2,014,222
-2,014,222
-2,014,222

59236743.79
66291635.42
66291635.42
66291635.42
66291635.42
75198568.57
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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#VALUE!
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-34%

-63%

#VALUE!
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#VALUE!
#VALUE!
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#VALUE!
#VALUE!
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#VALUE!
#VALUE!

Antithetic simulation --->


Simulated
growth

1.676%

3.290%

1.728%

4.295%

2.154%

2.165%

Unbounded RPI structure ---->


Simulated
Accumulated
Index
Index
215.22
218.86

218.86
218.86
218.86
218.86
226.18
226.18
226.18
226.18
230.12
230.12
230.12
230.12
240.22
240.22
240.22
240.22
245.45
245.45
245.45
245.45
250.83

101.69%
101.69%
101.69%
101.69%
105.09%
105.09%
105.09%
105.09%
106.92%
106.92%
106.92%
106.92%
111.62%
111.62%
111.62%
111.62%
114.05%
114.05%
114.05%
114.05%
116.54%

Bounded LPI structure ---->


Simulated
Lower
Upper
CF
Index
bound
bound
-77,659,942
215.22
218.86
1.08%
3.25%

-1,206,912
-1,206,912
-1,206,912
-1,206,912
-1,247,286
-1,247,286
-1,247,286
-1,247,286
-1,269,024
-1,269,024
-1,269,024
-1,269,024
-1,324,715
-1,324,715
-1,324,715
-1,324,715
-1,353,563
-1,353,563
-1,353,563
-1,353,563

226.18

229.36

239.42

241.38

246.66

1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%

3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%

Bounded
uplift

101.7%

103.0%

101.7%

103.0%

102.2%

102.2%

6.282%

5.371%

3.442%

3.961%

4.753%

3.721%

5.996%

4.400%

2.977%

5.251%

2.091%

3.466%

2.482%

250.83
250.83
250.83
267.09
267.09
267.09
267.09
281.83
281.83
281.83
281.83
291.70
291.70
291.70
291.70
303.48
303.48
303.48
303.48
318.26
318.26
318.26
318.26
330.32
330.32
330.32
330.32
350.74
350.74
350.74
350.74
366.51
366.51
366.51
366.51
377.59
377.59
377.59
377.59
397.94
397.94
397.94
397.94
406.35
406.35
406.35
406.35
420.68
420.68
420.68
420.68
431.26
431.26
431.26

116.54%
116.54%
116.54%
124.10%
124.10%
124.10%
124.10%
130.95%
130.95%
130.95%
130.95%
135.53%
135.53%
135.53%
135.53%
141.01%
141.01%
141.01%
141.01%
147.87%
147.87%
147.87%
147.87%
153.48%
153.48%
153.48%
153.48%
162.96%
162.96%
162.96%
162.96%
170.29%
170.29%
170.29%
170.29%
175.44%
175.44%
175.44%
175.44%
184.90%
184.90%
184.90%
184.90%
188.80%
188.80%
188.80%
188.80%
195.46%
195.46%
195.46%
195.46%
200.38%
200.38%
200.38%

-1,383,186
-1,383,186
-1,383,186
-1,383,186
-1,472,871
-1,472,871
-1,472,871
-1,472,871
-1,554,149
-1,554,149
-1,554,149
-1,554,149
-1,608,576
-1,608,576
-1,608,576
-1,608,576
-1,673,567
-1,673,567
-1,673,567
-1,673,567
-1,755,041
-1,755,041
-1,755,041
-1,755,041
-1,821,583
-1,821,583
-1,821,583
-1,821,583
-1,934,138
-1,934,138
-1,934,138
-1,934,138
-2,021,146
-2,021,146
-2,021,146
-2,021,146
-2,082,220
-2,082,220
-2,082,220
-2,082,220
-2,194,469
-2,194,469
-2,194,469
-2,194,469
-2,240,843
-2,240,843
-2,240,843
-2,240,843
-2,319,863
-2,319,863
-2,319,863
-2,319,863
-2,378,172
-2,378,172

262.66

268.08

270.85

280.43

291.14

296.79

312.73

317.01

321.91

339.19

338.50

350.44

357.42

1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%
1.00%

3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%
3.00%

103.0%

103.0%

103.0%

103.0%

103.0%

103.0%

103.0%

103.0%

103.0%

103.0%

102.1%

103.0%

102.5%

3.430%

3.122%

431.26
446.30
446.30
446.30
446.30
460.46

200.38%
207.37%
207.37%
207.37%
207.37%
213.94%

-2,378,172
-2,378,172
-2,461,147
-2,461,147
-2,461,147
-2,461,147

369.89

379.82

1.00%
1.00%
1.00%
1.00%
1.00%
1.00%

3.00%
3.00%
3.00%
3.00%
3.00%
3.00%

103.0%

103.0%

Bounded
Index

Accumulated
Index

CF
-70,757,700

Fixed side

215.22
218.86

Base indexing date


Start date
5-Oct-09
Uplift dates

218.86
218.86
218.86
218.86
225.43
225.43
225.43
225.43
229.36
229.36
229.36
229.36
236.24
236.24
236.24
236.24
241.38
241.38
241.38
241.38
246.66

101.69%
101.69%
101.69%
101.69%
104.74%
104.74%
104.74%
104.74%
106.57%
106.57%
106.57%
106.57%
109.76%
109.76%
109.76%
109.76%
112.15%
112.15%
112.15%
112.15%
114.61%

-1,206,912
-1,206,912
-1,206,912
-1,206,912
-1,243,119
-1,243,119
-1,243,119
-1,243,119
-1,264,785
-1,264,785
-1,264,785
-1,264,785
-1,302,728
-1,302,728
-1,302,728
-1,302,728
-1,331,098
-1,331,098
-1,331,098
-1,331,098

0
3
6
9
12
15
18
21
24
27
30
33
36
39
42
45
48
51
54
57
60

5-Oct-09
5-Jan-10
5-Apr-10
5-Jul-10
5-Oct-10
5-Jan-11
5-Apr-11
5-Jul-11
5-Oct-11
5-Jan-12
5-Apr-12
5-Jul-12
5-Oct-12
5-Jan-13
5-Apr-13
5-Jul-13
5-Oct-13
5-Jan-14
5-Apr-14
5-Jul-14
5-Oct-14

5-Oct-09
5-Jan-10
5-Apr-10
5-Jul-10
5-Oct-10
5-Jan-11
5-Apr-11
5-Jul-11
5-Oct-11
5-Jan-12
5-Apr-12
5-Jul-12
5-Oct-12
7-Jan-13
5-Apr-13
5-Jul-13
7-Oct-13
6-Jan-14
7-Apr-14
7-Jul-14
6-Oct-14

Oct-09
Oct-09
Oct-09
Oct-09
Oct-10
Oct-10
Oct-10
Oct-10
Oct-11
Oct-11
Oct-11
Oct-11
Oct-12
Oct-12
Oct-12
Oct-12
Oct-13
Oct-13
Oct-13
Oct-13
Oct-14

246.66
246.66
246.66
254.06
254.06
254.06
254.06
261.68
261.68
261.68
261.68
269.54
269.54
269.54
269.54
277.62
277.62
277.62
277.62
285.95
285.95
285.95
285.95
294.53
294.53
294.53
294.53
303.36
303.36
303.36
303.36
312.47
312.47
312.47
312.47
321.84
321.84
321.84
321.84
331.49
331.49
331.49
331.49
338.50
338.50
338.50
338.50
348.65
348.65
348.65
348.65
357.42
357.42
357.42

114.61%
114.61%
114.61%
118.05%
118.05%
118.05%
118.05%
121.59%
121.59%
121.59%
121.59%
125.23%
125.23%
125.23%
125.23%
128.99%
128.99%
128.99%
128.99%
132.86%
132.86%
132.86%
132.86%
136.85%
136.85%
136.85%
136.85%
140.95%
140.95%
140.95%
140.95%
145.18%
145.18%
145.18%
145.18%
149.54%
149.54%
149.54%
149.54%
154.02%
154.02%
154.02%
154.02%
157.28%
157.28%
157.28%
157.28%
162.00%
162.00%
162.00%
162.00%
166.07%
166.07%
166.07%

-1,360,228
-1,360,228
-1,360,228
-1,360,228
-1,401,035
-1,401,035
-1,401,035
-1,401,035
-1,443,066
-1,443,066
-1,443,066
-1,443,066
-1,486,358
-1,486,358
-1,486,358
-1,486,358
-1,530,949
-1,530,949
-1,530,949
-1,530,949
-1,576,877
-1,576,877
-1,576,877
-1,576,877
-1,624,184
-1,624,184
-1,624,184
-1,624,184
-1,672,909
-1,672,909
-1,672,909
-1,672,909
-1,723,096
-1,723,096
-1,723,096
-1,723,096
-1,774,789
-1,774,789
-1,774,789
-1,774,789
-1,828,033
-1,828,033
-1,828,033
-1,828,033
-1,866,664
-1,866,664
-1,866,664
-1,866,664
-1,922,663
-1,922,663
-1,922,663
-1,922,663
-1,970,989
-1,970,989

63
66
69
72
75
78
81
84
87
90
93
96
99
102
105
108
111
114
117
120
123
126
129
132
135
138
141
144
147
150
153
156
159
162
165
168
171
174
177
180
183
186
189
192
195
198
201
204
207
210
213
216
219
222

5-Jan-15
5-Apr-15
5-Jul-15
5-Oct-15
5-Jan-16
5-Apr-16
5-Jul-16
5-Oct-16
5-Jan-17
5-Apr-17
5-Jul-17
5-Oct-17
5-Jan-18
5-Apr-18
5-Jul-18
5-Oct-18
5-Jan-19
5-Apr-19
5-Jul-19
5-Oct-19
5-Jan-20
5-Apr-20
5-Jul-20
5-Oct-20
5-Jan-21
5-Apr-21
5-Jul-21
5-Oct-21
5-Jan-22
5-Apr-22
5-Jul-22
5-Oct-22
5-Jan-23
5-Apr-23
5-Jul-23
5-Oct-23
5-Jan-24
5-Apr-24
5-Jul-24
5-Oct-24
5-Jan-25
5-Apr-25
5-Jul-25
5-Oct-25
5-Jan-26
5-Apr-26
5-Jul-26
5-Oct-26
5-Jan-27
5-Apr-27
5-Jul-27
5-Oct-27
5-Jan-28
5-Apr-28

5-Jan-15
6-Apr-15
6-Jul-15
5-Oct-15
5-Jan-16
5-Apr-16
5-Jul-16
5-Oct-16
5-Jan-17
5-Apr-17
5-Jul-17
5-Oct-17
5-Jan-18
5-Apr-18
5-Jul-18
5-Oct-18
7-Jan-19
5-Apr-19
5-Jul-19
7-Oct-19
6-Jan-20
6-Apr-20
6-Jul-20
5-Oct-20
5-Jan-21
5-Apr-21
5-Jul-21
5-Oct-21
5-Jan-22
5-Apr-22
5-Jul-22
5-Oct-22
5-Jan-23
5-Apr-23
5-Jul-23
5-Oct-23
5-Jan-24
5-Apr-24
5-Jul-24
7-Oct-24
6-Jan-25
7-Apr-25
7-Jul-25
6-Oct-25
5-Jan-26
6-Apr-26
6-Jul-26
5-Oct-26
5-Jan-27
5-Apr-27
5-Jul-27
5-Oct-27
5-Jan-28
5-Apr-28

Oct-14
Oct-14
Oct-14
Oct-15
Oct-15
Oct-15
Oct-15
Oct-16
Oct-16
Oct-16
Oct-16
Oct-17
Oct-17
Oct-17
Oct-17
Oct-18
Oct-18
Oct-18
Oct-18
Oct-19
Oct-19
Oct-19
Oct-19
Oct-20
Oct-20
Oct-20
Oct-20
Oct-21
Oct-21
Oct-21
Oct-21
Oct-22
Oct-22
Oct-22
Oct-22
Oct-23
Oct-23
Oct-23
Oct-23
Oct-24
Oct-24
Oct-24
Oct-24
Oct-25
Oct-25
Oct-25
Oct-25
Oct-26
Oct-26
Oct-26
Oct-26
Oct-27
Oct-27
Oct-27

357.42
368.14
368.14
368.14
368.14
379.18

166.07%
171.05%
171.05%
171.05%
171.05%
176.18%

-1,970,989
-1,970,989
-2,030,119
-2,030,119
-2,030,119
-2,030,119

225
228
231
234
237
240
243
246
249
252
255
258
261
264
267
270
273
276
279
282
285
288
291
294
297
300
303
306
309
312
315
318
321
324
327
330
333
336
339
342
345
348
351
354
357
360
363
366
369
372
375
378
381
384

5-Jul-28
5-Oct-28
5-Jan-29
5-Apr-29
5-Jul-29
5-Oct-29

5-Jul-28
5-Oct-28
5-Jan-29
5-Apr-29
5-Jul-29
5-Oct-29

Oct-27
Oct-28
Oct-28
Oct-28
Oct-28
Oct-29

387
390
393
396
399
402
405
408
411
414
417
420
423
426
429
432
435
438
441
444
447
450
453
456
459
462
465
468
471
474
477
480
483
486
489
492
495
498
501
504
507
510
513
516
519
522
525
528
531
534
537
540
543
546

549
552
555
558
561
564
567
570
573
576
579
582
585
588
591
594
597
600
603
606
609
612
615
618
621
624
627
630
633
636
639
642
645
648
651
654
657
660
663
666
669
672
675
678
681
684
687
690
693
696
699
702
705
708

711
714
717
720
723
726
729
732
735
738
741
744
747
750
753
756
759
762
765
768
771
774
777
780
783
786
789
792
795
798
801
804
807
810
813
816
819
822
825
828
831
834
837
840
843
846
849
852
855
858
861
864
867
870

873
876
879
882
885
888
891
894
897
900
903
906
909
912
915
918
921
924
927
930
933
936
939
942
945
948
951
954
957
960
963
966
969
972
975
978
981
984
987
990
993
996
999
1002
1005
1008
1011
1014
1017
1020
1023
1026
1029
1032

1035
1038
1041
1044
1047
1050
1053
1056
1059
1062
1065
1068
1071
1074
1077
1080
1083
1086
1089
1092
1095
1098
1101
1104
1107
1110
1113
1116
1119
1122
1125
1128
1131
1134
1137
1140
1143
1146
1149
1152
1155
1158
1161
1164
1167
1170
1173
1176
1179
1182
1185
1188
1191
1194

1197
1200

2.93%
Reference
Oct-08
Nov-09
Uplift Time
0.000
0.000
0.000
0.000
1.000
1.000
1.000
1.000
2.000
2.000
2.000
2.000
3.003
3.003
3.003
3.003
4.008
4.008
4.008
4.008
5.005

Index
214.74
221.57
Day count

0.252
0.247
0.249
0.252
0.252
0.247
0.249
0.252
0.252
0.249
0.249
0.252
0.258
0.241
0.249
0.258
0.249
0.249
0.249
0.249

Manual
principal

Time

Z-c rate

DFs

Cashflows

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

1.668
1.921
2.167
2.416
2.668
2.921
3.167
3.416
3.668
3.921
4.170
4.419
4.671
4.929
5.170
5.419
5.677
5.926
6.175
6.425
6.674

4.881%
4.853%
4.847%
4.852%
4.860%
4.869%
4.876%
4.883%
4.889%
4.896%
4.902%
4.907%
4.912%
4.916%
4.919%
4.922%
4.924%
4.926%
4.929%
4.932%

0.910522
0.900165
0.889474
0.878567
0.867664
0.857098
0.846545
0.835998
0.825567
0.815350
0.805242
0.795145
0.784966
0.775576
0.766002
0.756244
0.746917
0.737693
0.728568
0.719534

1,115,043
1,102,361
1,089,268
1,075,910
1,062,559
1,049,620
1,036,696
1,023,781
1,011,006
998,494
986,115
973,750
961,286
949,786
938,061
926,112
914,689
903,394
892,219
881,156

5.005
5.005
5.005
6.003
6.003
6.003
6.003
7.005
7.005
7.005
7.005
8.005
8.005
8.005
8.005
9.005
9.005
9.005
9.005
10.011
10.011
10.011
10.011
11.008
11.008
11.008
11.008
12.008
12.008
12.008
12.008
13.008
13.008
13.008
13.008
14.008
14.008
14.008
14.008
15.016
15.016
15.016
15.016
16.014
16.014
16.014
16.014
17.011
17.011
17.011
17.011
18.011
18.011
18.011

0.249
0.249
0.249
0.249
0.252
0.249
0.249
0.252
0.252
0.247
0.249
0.252
0.252
0.247
0.249
0.252
0.258
0.241
0.249
0.258
0.249
0.249
0.249
0.249
0.252
0.247
0.249
0.252
0.252
0.247
0.249
0.252
0.252
0.247
0.249
0.252
0.252
0.249
0.249
0.258
0.249
0.249
0.249
0.249
0.249
0.249
0.249
0.249
0.252
0.247
0.249
0.252
0.252
0.249

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

6.923
7.173
7.422
7.671
7.923
8.173
8.422
8.674
8.926
9.173
9.422
9.674
9.926
10.173
10.422
10.674
10.932
11.173
11.422
11.679
11.929
12.178
12.427
12.677
12.929
13.175
13.425
13.677
13.929
14.175
14.425
14.677
14.929
15.175
15.425
15.677
15.929
16.178
16.427
16.685
16.934
17.184
17.433
17.682
17.932
18.181
18.430
18.679
18.932
19.178
19.427
19.679
19.932
20.181

4.935%
4.939%
4.942%
4.945%
4.947%
4.947%
4.947%
4.946%
4.947%
4.949%
4.952%
4.956%
4.958%
4.959%
4.958%
4.956%
4.952%
4.948%
4.944%
4.939%
4.934%
4.929%
4.925%
4.920%
4.916%
4.912%
4.908%
4.904%
4.899%
4.895%
4.891%
4.886%
4.881%
4.875%
4.870%
4.864%
4.858%
4.852%
4.845%
4.839%
4.832%
4.826%
4.819%
4.812%
4.806%
4.799%
4.792%
4.786%
4.779%
4.773%
4.766%
4.760%
4.753%
4.747%

0.710587
0.701718
0.692949
0.684309
0.675731
0.667427
0.659277
0.651137
0.643045
0.635129
0.627142
0.619155
0.611310
0.603829
0.596470
0.589210
0.581960
0.575310
0.568556
0.561691
0.555138
0.548661
0.542256
0.535928
0.529611
0.523510
0.517425
0.511359
0.505383
0.499624
0.493892
0.488190
0.482585
0.477192
0.471834
0.466508
0.461269
0.456171
0.451153
0.446051
0.441188
0.436398
0.431677
0.427024
0.422436
0.417910
0.413445
0.409040
0.404643
0.400396
0.396155
0.391920
0.387735
0.383644

870,199
859,339
848,600
838,019
827,514
817,345
807,364
797,395
787,487
777,791
768,011
758,230
748,623
739,462
730,449
721,558
712,680
704,537
696,265
687,858
679,833
671,901
664,058
656,309
648,572
641,101
633,649
626,221
618,902
611,850
604,830
597,848
590,983
584,379
577,817
571,295
564,880
558,636
552,491
546,243
540,288
534,421
528,640
522,942
517,323
511,781
506,314
500,918
495,534
490,334
485,140
479,953
474,829
469,818

18.011
19.014
19.014
19.014
19.014
20.014

0.249
0.252
0.252
0.247
0.249
0.252

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

20.430
20.682
20.934
21.181
21.430
21.682

4.741%
4.735%
4.729%
4.723%
4.718%
4.712%

0.379601
0.375562
0.371572
0.367717
0.363867
0.360025

464,867
459,921
455,035
450,313
445,599
440,894

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0.00
0.00

First derivative
Cashflows

Second derivative
Cashflows

Third derivative
Cashflows

0
0
0
0
1,062,559
1,049,620
1,036,696
1,023,781
2,022,012
1,996,988
1,972,231
1,947,501
2,886,491
2,851,962
2,816,754
2,780,874
3,666,275
3,621,002
3,576,208
3,531,866

0
0
0
0
0
0
0
0
1,011,006
998,494
986,115
973,750
2,890,445
2,855,868
2,820,612
2,784,684
5,514,480
5,446,385
5,379,009
5,312,314

0
0
0
0
0
0
0
0
0
0
0
0
966,121
954,564
942,780
930,771
3,691,428
3,645,845
3,600,743
3,556,097

PV of Fixed side =
Required difference =
Error =
Error (bps)
Adjusted growth

4,355,762
4,301,402
4,247,650
4,194,685
4,967,350
4,906,308
4,846,394
4,786,555
5,516,721
5,448,802
5,380,286
5,311,761
5,993,086
5,919,745
5,847,596
5,776,419
6,418,025
6,344,692
6,270,199
6,194,491
6,805,782
6,726,372
6,647,859
6,570,281
7,139,625
7,057,381
6,975,344
6,893,579
7,431,916
7,347,225
7,262,930
7,179,088
7,687,635
7,601,735
7,516,371
7,431,530
7,912,956
7,825,495
7,739,415
7,651,894
8,113,205
8,025,106
7,938,294
7,852,726
8,284,260
8,195,507
8,107,952
8,021,554
8,429,515
8,341,043
8,252,693
8,164,463
8,552,118
8,461,881

8,723,458
8,614,589
8,506,937
8,400,863
12,425,180
12,272,490
12,122,623
11,972,945
16,565,276
16,361,335
16,155,597
15,949,836
20,992,220
20,735,324
20,482,608
20,233,291
25,689,685
25,396,151
25,097,976
24,794,936
30,663,311
30,305,529
29,951,792
29,602,265
35,727,465
35,315,905
34,905,388
34,496,226
40,906,079
40,439,934
39,975,965
39,514,488
46,157,401
45,641,652
45,129,117
44,619,718
51,466,732
50,897,880
50,338,001
49,768,755
56,859,117
56,241,703
55,633,306
55,033,627
62,188,690
61,522,433
60,865,175
60,216,600
67,482,311
66,774,050
66,066,762
65,360,441
72,739,862
71,972,359

8,739,391
8,630,324
8,522,475
8,416,207
16,578,255
16,374,528
16,174,568
15,974,861
27,639,050
27,298,775
26,955,504
26,612,193
42,022,782
41,508,521
41,002,628
40,503,537
59,989,521
59,304,071
58,607,784
57,900,138
81,880,842
80,925,450
79,980,859
79,047,509
107,280,277
106,044,472
104,811,796
103,583,187
136,465,667
134,910,574
133,362,739
131,823,219
169,370,262
167,477,770
165,597,071
163,727,877
206,007,934
203,730,965
201,489,917
199,211,371
246,701,065
244,022,221
241,382,499
238,780,606
290,497,854
287,385,612
284,315,405
281,285,763
337,658,066
334,114,173
330,575,150
327,040,965
388,211,646
384,115,492

8,372,699
8,283,619
8,651,899
8,562,119
8,472,485
8,383,021

71,213,817
70,456,147
77,926,350
77,117,717
76,310,391
75,504,611

380,067,165
376,023,493
441,938,477
437,352,531
432,774,000
428,204,234

Formulae to estimate simulated growth rates using a cubic approximation


Static
Simulated
Simulated
RPI
RPI
LPI
c

-19,428,489

-19,412,317

-13,501,863

RPI-q
-0.002263

RPI-q
-0.002262

LPI-q
-0.001969

D=
sqrt(D) =

0.000006
0.002383

0.000006
0.002382

0.000004
0.002106

u
v
y
growth

0.166857
#VALUE!
#VALUE!
#VALUE!

0.166838
#VALUE!
#VALUE!
#VALUE!

0.159729
#VALUE!
#VALUE!
#VALUE!

Static RPI estimation

455,741,323

#VALUE!

#VALUE!

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CF

CF

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CF

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2,501,775,559

p
0.008224

-76,795,184 Simulated RPI estimation

#VALUE!
0
#VALUE!
#VALUE!

-76,779,012

#VALUE!
0
#VALUE!
#VALUE!

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#VALUE!

CF

CF

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CF

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Simulations

10,096,219,642

Count

0
RPI

Statistics
Average
St Dev
Min
Max

#VALUE!
#DIV/0!
#VALUE!
#VALUE!

LPI
#VALUE!
#DIV/0!
#VALUE!
#VALUE!

Results from Simulations


Simulated LPI estimation
PV01
#VALUE!
#VALUE!
0
#VALUE!
#VALUE!
#VALUE!

-70,868,558
#VALUE!

CF

CF

#VALUE!
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#VALUE!

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27

#VALUE!
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#VALUE!

28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81

#VALUE!
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82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135

#VALUE!
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136
137
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139
140
141
142
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148
149
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152
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177
178
179
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185
186
187
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189

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190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
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223
224
225
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227
228
229
230
231
232
233
234
235
236
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238
239
240
241
242
243

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244
245
246
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256
257
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260
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277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297

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298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
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322
323
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331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351

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352
353
354
355
356
357
358
359
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361
362
363
364
365
366
367
368
369
370
371
372
373
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385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405

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406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459

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460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500

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Graphics

No of Buckets

10

Size

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1200.0%
1000.0%
800.0%
600.0%
400.0%
200.0%
0.0%

#VAL #VAL #VAL #VAL #VAL #VAL #


UE! UE! UE! UE! UE! UE! U

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UE! UE! UE! UE! UE! UE! UE! UE! UE! UE!