Inflation index reference for a given date formula

Tags: bonds pricing and analysis

Description of the Inflation index reference for a given date formula

Formula for the calculation of the inflation index reference for a given date

I P C_{v} = I P C_{m - 3} + \frac{j_{v} + 1}{J_{m}} \cdot (I P C_{m - 2} - I P C_{m - 3})

I P C_{m - 2}

CPI of month m-2

I P C_{m - 3}

CPI of month m-3

J_{m}

Number of days in month m

j_{v}

Day number of the value date (e.g. 5 if value date is July 5th)