Re: [Quantlib-dev] Interpolated ZeroInflationIndexes

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

Peter,

Here is my first attempt at solving this bug. Can you confirm whether it
solves your problem?
https://github.com/igitur/quantlib/tree/inflation_reference_period_fix

Francois Botha


On 18 June 2014 17:27, Francois Botha <ig...@gm...> wrote:

> 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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