Setting up the inflation data file

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In addition to security master data, yield curves and returns, FIA can also read in periodically updated index data. This includes inflation data (CPI and RPI figures) which are used to price inflation-linked bonds, and money market benchmark data (LIBOR and similar) to price floating rate notes.

If supplied, the name of the exchange rate file is supplied in the CPIFile field in the configuration file.

All rows in the index file must conform to the following format:

Column Field Type Example Required?
Column 1 Date Date 31/12/2000 Yes. Entries in the Date column must conform to the relevant date format string in the project’s configuration file (see section Setting up the configuration file).
Column 2 Index String AUSTRALIA, LIBOR Yes. The value of this field is specified in the security master file where relevant
Column 3 Index value Real 45,3 Yes