[Quantlib-dev] Index fixings at end of month

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

Hi,

I have an interpolated ZeroInflationIndex. My fixings are supposed to "fix"
at the end of each month. So any interpolated value on the end of the month
should be equal to the original fixing, i.e. no interpolation occurs. The
fixings are applicable from the end of the month back towards the 1st of
the same month.

The current ZeroInflationIndex implementation assumes that fixings are on
the 1st of the month and apply forward to the rest of the month, so lookups
to values at the end of the month are slightly off for my use case.

I can fix this by adding a suitable parameter, but I want to know whether I
should include this in the ZeroInflationIndex class or higher up in the
InflationIndex class. Besides ZeroInflationIndex, InterestRateIndex and its
subclasses also derive from InflationIndex. I'm unsure whether this change
would be applicable for those too.

thanks
Francois Botha