[Quantlib-dev] Inflation curves

[Simon I. - S. <Sim...@st...>]

Hi,

 

I'm trying to develop an inflation swap (with intermediate coupons)
where the fixed payments are scaled by a factor (inflation index / base
value).

At the moment, I simply cannot understand the way in which inflation
curves & inflation indexes work in QuantLib. 

 

I understand that there has to be a distinction between inflation rates
based upon year-on-year (either synthetic or derived from an index).
However, I don't understand the date lag mechanism. There are several
assumptions in place: for instance, the inflation numbers are assumed to
always be published on the 1st of the month. Also, in
ZeroInflationIndex::forecastFixing, why is there a difference between
the baseDate, the trueBaseDate, and the curve reference date?

 

Can anyone explain the reasoning behind these dates - also, why does the
initial zero rate (the value at the base date) not change during the
bootstrapping?

 

Cheers,

 

Simon

 

 

Simon Ibbotson

Quantitative Analytics

Capital Markets

Straumur