From: <a.r...@li...> - 2009-08-18 12:40:28
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Hi Chris , thanks for your answer but it's not all clear ok I can't bootstrap forward inflation from inflation-linked-bond quotes but Looking at the latest version on SVN repository,I can see the inflationcoupon class e Inflationcouponpricer class. Can I use those class to define an inflation bond ? Moreover we suppose we need an "Inflationleg" too somenthing wrong? thanks for the article it's intresting Regards Alessandro ----Messaggio originale----Da: chr...@ya...Data: 18/08/2009 10.05A: <qua...@li...>, <qua...@li...>, <a.r...@li...>Ogg: Re: Inflation Bond (a.r...@li...) -->--> Hi Alessandro,you can't do it as simply as you can price a nominal bond. The indices and the forward inflation curves bootstrapped from swaps are available, but not inflation coupons (mimicing ibor coupon) nor the relevant helpers to bootstrap forward inflation from inflation-linked-bond quotes. Note that you should probably not use a forward curve from inflation swaps to price an inflation bond (see article by Bank of England for a discussion: http://www.bankofengland.co.uk/publications/quarterlybulletin/qb060101.pdf). Anyone else need this soon?Best regards,Chris-----Inline Message Follows-----Hello Everyone,I am trying to use the inflation code, under experimental folder, to evaluted a generic bond inflationbut i'm not sure if is it possible in the present state of QL developement Someone would be so kind to give me some hints or sample?Thank you in advance for your help.Alessandro |