Fixed Income Money Market and Derivatives Association of India

Cubic spline (CS) - FIMMDA, PDAI - GOI STRIP Prices as on 7th Feb, 2011
Coupon STRIPS
CS 02 JUL 2011
CS 02 JAN 2012
CS 02 JUL 2012
CS 02 JAN 2013
CS 02 JUL 2013
CS 02 JAN 2014
CS 02 JUL 2014
CS 02 JAN 2015
CS 02 JUL 2015
CS 02 JAN 2016
CS 02 JUL 2016
CS 02 JAN 2017
CS 02 JUL 2017
CS 02 JAN 2018
CS 02 JUL 2018
CS 02 JAN 2019
CS 02 JUL 2019
CS 02 JAN 2020
CS 02 JUL 2020
CS 02 JAN 2021
CS 02 JUL 2021
CS 02 JAN 2022
CS 02 JUL 2022
CS 02 JAN 2023
CS 02 JUL 2023
CS 02 JAN 2024
CS 02 JUL 2024
CS 02 JAN 2025
CS 02 JUL 2025
CS 02 JAN 2026
CS 02 JUL 2026
CS 02 JAN 2027
CS 02 JUL 2027
CS 02 JAN 2028
CS 02 JUL 2028
CS 02 JAN 2029
CS 02 JUL 2029
CS 02 JAN 2030
CS 02 JUL 2030

Maturity (mm/dd/yy)

Price

7/2/2011
1/2/2012
7/2/2012
1/2/2013
7/2/2013
1/2/2014
7/2/2014
1/2/2015
7/2/2015
1/2/2016
7/2/2016
1/2/2017
7/2/2017
1/2/2018
7/2/2018
1/2/2019
7/2/2019
1/2/2020
7/2/2020
1/2/2021
7/2/2021
1/2/2022
7/2/2022
1/2/2023
7/2/2023
1/2/2024
7/2/2024
1/2/2025
7/2/2025
1/2/2026
7/2/2026
1/2/2027
7/2/2027
1/2/2028
7/2/2028
1/2/2029
7/2/2029
1/2/2030
7/2/2030

97.19
93.59
90.04
86.64
83.36
80.04
76.65
73.33
70.21
67.29
64.56
62.01
59.60
57.28
55.05
52.90
50.82
48.81
46.86
44.97
43.13
41.33
39.57
37.85
36.16
34.52
32.92
31.37
29.88
28.44
27.06
25.74
24.50
23.32
22.21
21.16
20.17
19.24
18.36

CS 02 JAN 2031
CS 02 JUL 2031
CS 02 JAN 2032
CS 02 JUL 2032
CS 02 JAN 2033
CS 02 JUL 2033
CS 02 JAN 2034
CS 02 JUL 2034
CS 02 JAN 2035
CS 02 JUL 2035
CS 02 JAN 2036
CS 02 JUL 2036
CS 02 JAN 2037
CS 02 JUL 2037
CS 02 JAN 2038
CS 02 JUL 2038
CS 02 JAN 2039
CS 02 JUL 2039
CS 02 JAN 2040
CS 02 JUL 2040

1/2/2031
7/2/2031
1/2/2032
7/2/2032
1/2/2033
7/2/2033
1/2/2034
7/2/2034
1/2/2035
7/2/2035
1/2/2036
7/2/2036
1/2/2037
7/2/2037
1/2/2038
7/2/2038
1/2/2039
7/2/2039
1/2/2040
7/2/2040

17.53
16.75
16.01
15.32
14.66
14.05
13.46
12.91
12.39
11.90
11.44
11.00
10.58
10.18
9.81
9.45
9.11
8.78
8.47
8.17

Principal STRIPS

Maturity (mm/dd/yy)

Price

PS 02 JUL 2011
PS 02 JUL 2016
PS 02 JAN 2018
PS 02 JAN 2019
PS 02 JAN 2020
PS 02 JUL 2040

7/2/2011
7/2/2016
1/2/2018
1/2/2019
1/2/2020
7/2/2040

97.19
64.56
57.28
52.90
48.81
8.17

tion of India

Prices as on 7th Feb, 2011

Yield
7.27
7.50
7.64
7.69
7.73
7.83
7.98
8.11
8.20
8.25
8.27
8.26
8.25
8.24
8.23
8.22
8.22
8.22
8.23
8.24
8.25
8.27
8.30
8.33
8.37
8.42
8.47
8.52
8.57
8.62
8.67
8.72
8.76
8.80
8.84
8.87
8.89
8.91
8.93

Remark
s
-

8.94
8.95
8.96
8.96
8.96
8.96
8.95
8.94
8.93
8.92
8.90
8.88
8.86
8.84
8.82
8.80
8.78
8.75
8.73
8.70
Yield
7.27
8.27
8.24
8.22
8.22
8.70

Fixed Income Money Market and Derivatives Association of India

Cubic spline - FIMMDA, PDAI - GOI Prices as on 7th Feb, 2011

Maturity in Yrs
0.25
0.50
0.75
1.00
1.25
1.50
1.75
2.00
2.25
2.50
2.75
3.00
3.25
3.50
3.75
4.00
4.25
4.50
4.75
5.00
5.25
5.50
5.75
6.00
6.25
6.50
6.75
7.00
7.25
7.50
7.75
8.00
8.25
8.50
8.75
9.00

Zero Coupon (in %)

(semi-annual)
7.19
7.32
7.44
7.53
7.61
7.66
7.68
7.70
7.71
7.74
7.79
7.85
7.93
8.01
8.08
8.14
8.18
8.22
8.24
8.26
8.27
8.27
8.27
8.26
8.26
8.25
8.24
8.24
8.23
8.23
8.23
8.22
8.22
8.22
8.22
8.22

9.25
9.50
9.75
10.00
10.25
10.50
10.75
11.00
11.25
11.50
11.75
12.00
12.25
12.50
12.75
13.00
13.25
13.50
13.75
14.00
14.25
14.50
14.75
15.00
15.25
15.50
15.75
16.00
16.25
16.50
16.75
17.00
17.25
17.50
17.75
18.00
18.25
18.50
18.75
19.00
19.25
19.50
19.75

8.23
8.23
8.23
8.24
8.25
8.26
8.27
8.28
8.29
8.31
8.32
8.34
8.36
8.38
8.40
8.43
8.45
8.48
8.50
8.53
8.55
8.58
8.60
8.63
8.66
8.68
8.70
8.73
8.75
8.77
8.79
8.81
8.83
8.84
8.86
8.87
8.89
8.90
8.91
8.92
8.93
8.93
8.94

20.00
20.25
20.50
20.75
21.00
21.25
21.50
21.75
22.00
22.25
22.50
22.75
23.00
23.25
23.50
23.75
24.00
24.25
24.50
24.75
25.00
25.25
25.50
25.75
26.00
26.25
26.50
26.75
27.00
27.25
27.50
27.75
28.00
28.25
28.50
28.75
29.00
29.25
29.50
29.75
30.00

8.95
8.95
8.96
8.96
8.96
8.96
8.96
8.96
8.96
8.96
8.96
8.95
8.95
8.94
8.94
8.93
8.93
8.92
8.91
8.91
8.90
8.89
8.88
8.87
8.86
8.85
8.84
8.83
8.82
8.81
8.79
8.78
8.77
8.76
8.75
8.73
8.72
8.71
8.70
8.70
8.70