This example details the correct setup of a U.S. Treasury Inflation Index Security.Process
In this example:
- Processing Security Type
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- is equal to DBFLTP
- First Coupon and Last Coupon Date are in sync, based on the Payment Frequency (Semiannual)
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- Dated Date CPI is populated with the value of the index that measures inflation on the Dated Date of the security
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You enter values that measure inflation, based on the underlying index in the Variable Rate table.
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Because this security has a normal Last Coupon Date value, the Last Coupon Date value can be equal to the Maturity Date value or be equal to the penultimate coupon date (that is, 20060715). If the coupon period is Long last coupon period or Short last coupon period, then the Last Coupon Date value must be equal to the penultimate coupon date. |
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