Re: [Quantlib-dev] Index fixings at end of month

[Luigi B. <lui...@gm...>]

Hello,
    I'm ok with coding it in InflationIndex as you did in your pull request.

Luigi

On Thu, Nov 13, 2014 at 2:26 PM, Francois Botha <ig...@gm...> wrote:

> 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
>
>
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