Re: [Quantlib-dev] Interpolated ZeroInflationIndexes

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

Also on interpolation of inflation rates, a quick peer review: I think line
169 of <ql/termstructures/inflationtermstructure.cpp> was supposed to
interpolate linearly between the two zero rates, but the formula is wrong.
Is anyone using, or did anyone try to use this forceLinearInterpolation
feature and can confirm?

Thanks,
    Luigi


On Thu, Nov 20, 2014 at 3:57 PM, Luigi Ballabio <lui...@gm...>
wrote:

> Hi Francois,
>     did you ever submit this fix? I don't seem to remember it.
> Or was the problem fixed in another way?
>
> Luigi
>
> On Thu, Jul 10, 2014 at 4:36 PM, Francois Botha <ig...@gm...> wrote:
>
>> 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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>>>>
>>>
>>>
>>
>>
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