Reliable, directly measured optical properties of astrophysical ice analogs in the infrared (IR) and terahertz (THz) range are missing. These parameters are of great importance to model the dust continuum radiative transfer in dense and cold regions, where thick ice mantles are present, and are necessary for the interpretation of future observations planned in the far-IR region. Coherent THz radiation allows direct measurement of the complex dielectric function (refractive index) of astrophysically relevant ice species in the THz range. The time-domain waveforms and the frequency-domain spectra of reference samples of CO ice, deposited at a temperature of 28.5K and annealed to 33K at different thicknesses, have been recorded. A new algorithm is developed to reconstruct the real and imaginary parts of the refractive index from the time-domain THz data. The complex refractive index in the wavelength range of 1mm-150um (0.3-2.0THz) has been determined for the studied ice samples, and compared with available data found in the literature. The developed algorithm of reconstructing the real and imaginary parts of the refractive index from the time-domain THz data enables, for the first time, the determination of optical properties of astrophysical ice analogs without using the Kramers-Kronig relations. The obtained data provide a benchmark to interpret the observational data from current ground based facilities as well as future space telescope missions, and have been used to estimate the opacities of the dust grains in presence of CO ice mantles.