<t>Ok for the non stochastic formula. I found pricing methods for european indexed bonds (with and without accrued interest). Concerning stochastic modeling, the inflation index process follows the stoch. B&S formula and the solution after Ito adjustment is something like this.. Ct = C0 exp ( a*...

<t>Sorry.. The pricing formula described above is for Sout Africa IIB. You're right Dave..(& thanks Quentin)..We must do at the end coupon = couponvanilla * RATIO and the same thing for facial value adjustment. Then inflation indexed Bond pricing formula is the same as the vanilla bond (sum of P...

<t>Hi dave and thanks again. I thought the ratio was something like this: REFCPIissuedate = CPIi + ( (t-1)/D * (CPIi+1 - CPIi) ) with i=issuemonth-4 D=number of day of issuemonth t=issueday then RATIO=REFCPIsettlementdate/REFCPIissuedate and finally PRICE = PRICEvanilla * RATIO To your mind the CPI ...

<t>Hi everybody!I currently work at ... (since 2 weeks), a company developing portfolio simulation tools. I combined from many websites Inflation-Indexed bond pricing formulas (OATi ,..). Basically I calculate either the IPC ratio or the RPI ratio (retail prices index). Then, a simple multiplication...