Re: [Quantlib-dev] Inflation Linked Gilt

[Chris K. <chr...@ya...>]

Hi Leon,
I've added an inflation-lined bond into the QL trunk, as CPIbond in 
ql/instruments/bonds/cpibond.cpp.  
If you look at the new test inflationcpiswap.cpp you'll see how it works - all 
comments/suggestions welcome.  
I've also added some other CPI-linked functionality e.g. CPI-swaps and a 
CPICapFloor Instrument (test is in inflationcpicapfloor.cpp). 

Regards,
Chris
On Thu, 2011-01-06 at 15:00 -0600, Leon Sit wrote: >> I am trying to implement 
Inflation Linked Gilt. Is there a general >> advice on what part of quantlib I 
can reuse? I think I can probably >> reuse InflationTermStructurem, 
InflationIndex, and Bond. Any
>> implementation advice?  >You'll probably want to inherit a class from Coupon 
>>that takes an >InflationIndex and uses it to implement its rate() and 
>>accruedAmount() >methods (possibly a ZeroInflationIndex.  I find it easier to 
>>cope with; >the YoYInflationIndex is a bit more quirky about retrieving 
>>fixings.)  >Once you have the coupon, you can inherit a class from Bond. The 
>>>constructor will assemble the correct cash flows. If you're lucky, that >would 
>>be all; if instead your bond price must be rescaled by some >inflation factor, 
>>you'll have to put that calculation somewhere.  You >might override 
>>performCalculation to do the rescaling after calling the >base-class 
>>implementation.  >Luigi