The government liability nominal yield curves are derived from UK gilt prices and General Collateral (GC) repo rates. The real yield curves are derived from UK index-linked bond prices (section 1 below describes these instruments). By appealing to the Fisher relationship, the implied inflation term structure is calculated as the difference of instantaneous nominal forward rates and instantaneous real forward real rates (section 2 makes clear exactly what these terms mean). The instruments used in the construction of the commercial bank liability curve are first converted into synthetic bonds, and the same method is then used to produce the commercial bank liability curve.
