Re: [Quantlib-dev] Interpolated ZeroInflationIndexes

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

No, it's still work in progress. Guess it's about time I finish it. :-)
On 20 Nov 2014 4:57 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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