[Quantlib-dev] Interpolated ZeroInflationIndexes

[Francois B. <ig...@gm...>]

Hi,

I think the interpolation in ZeroInflationIndex::fixing isn't exactly
correctly.

Consider a linearly interpolated Zero Inflation Index with observation lag
of 4 months. If the reference date is in June, the observation date will be
in February, which has only 28 days. I believe the interpolation should use
June's 30 days instead of February's 28 days. As it is, the interpolation
will be "maxed out" by 28 June and will remain flat until 30 June.  Do you
guys agree?

regards
Francois Botha