Re: [Quantlib-dev] Interpolated ZeroInflationIndexes

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

Haha. I actually did read your email the other day, but I didn't make the
connection when I discovered the issue now. No fix yet, but I'll see if I
can get something together. It will have to  involve passing the original
reference date through to the fixing algorithm.

F

Francois Botha


On 18 June 2014 17:17, Peter Caspers <pca...@gm...> wrote:

> Hi Francois,
>
> yes, you have to use June's 30 days. This is corresponding to the
> question I sent earlier (see below), the second (Murex) way of doing
> the interpolation is the correct one.
>
> Do you have a fix for that ? This would be great.
>
> best
> Peter
>
> 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 )
>
> On 18 June 2014 16:50, Francois Botha <ig...@gm...> wrote:
> > 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
> >
> >
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