[Quantlib-dev] Inflation Index Interpolation

[Peter C. <pca...@gm...>]

Hi,

I am comparing Murex and QuantLib concerning Inflation Pricing. I observe a
difference in the way an index fixing is interpolated between known (i.e.
already fixed) values. Here is an example:

Take the EUHICP XT index which has fixings

01.08.2012 (Aug 12)    115.10
01.09.2012 (Sep 12)    115.97

Now I want to look up the fixing on 28.08.2012 belonging to an observation
date on 28.11.2012 (3m observation lag). In QL the interpolation is done as
follows:

Days between 01.08. and 01.09. = 31, Days between 01.08. and 28.08. = 27,
Interpolated Fixing = 115.10 + 27/31 * ( 115.97 - 115.10 )

In Murex on the opposite:

 Days between 01.11. and 01.12. = 30, Days between 01.11. and 28.11. = 27,
Interpolated Fixing = 115.10 + 27/30 * ( 115.97 - 115.10 )

Which computation is the correct one, i.e. what is the market convention
that is actually applied to deals ? Maybe I am using the QL classes not as
intended ?

Thanks a lot
Peter