Re: [Quantlib-dev] [Quantlib-users] Inflation Bond (a.roveda@libero.it)

[Pomarico F. I. <fra...@ab...>]

Hi Chris,

 

I'd also like to have inflation bonds in QL. Is there something already
done in development?

 

As a matter of fact I was trying to figure out how to implement the
Jarrow-Yildirim model using what have been already done in QL with
calibration and pricing of ZC and YY swap and IICapFloor. This is
because the generic structured bonds I need to price have some
optionality in it not allowing negative coupons if inflation index rate
turns out to be negative.

 

I understand from the BoE article that you would need an inflation curve
bootstrapped from inflation bond quotes for pricing inflation bonds
instead of getting the curve from swap, but honestly a plain JY is more
than adequate for me at the moment.

Thanks a lot.

 

Best regards,

Ivan

 

________________________________

From: Chris Kenyon [mailto:chr...@ya...] 
Sent: Tuesday, August 18, 2009 10:06 AM
To: qua...@li...;
qua...@li...; a.r...@li...
Subject: Re: [Quantlib-users] 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.p
df).  

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 inflation
but 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





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