Re: [Quantlib-dev] Interpolated ZeroInflationIndexes

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

Long overdue, but here is the PR for this issue.

https://github.com/lballabio/QuantLib/pull/50

I had to add a new parameter to the ZeroInflationIndex class
(forecastWhenPossible). If you prefer a different parameter name, let me
know. I admit the current one feels a bit clumsy.

regards,

Francois Botha

On 20 November 2014 at 17:28, Francois Botha <ig...@gm...> wrote:

> 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
>>>>> >
>>>>> >
>>>>> ------------------------------------------------------------------------------
>>>>> > HPCC Systems Open Source Big Data Platform from LexisNexis Risk
>>>>> Solutions
>>>>> > Find What Matters Most in Your Big Data with HPCC Systems
>>>>> > Open Source. Fast. Scalable. Simple. Ideal for Dirty Data.
>>>>> > Leverages Graph Analysis for Fast Processing & Easy Data Exploration
>>>>> > http://p.sf.net/sfu/hpccsystems
>>>>> > _______________________________________________
>>>>> > QuantLib-dev mailing list
>>>>> > Qua...@li...
>>>>> > https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>> >
>>>>>
>>>>
>>>>
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> Open source business process management suite built on Java and Eclipse
>>> Turn processes into business applications with Bonita BPM Community
>>> Edition
>>> Quickly connect people, data, and systems into organized workflows
>>> Winner of BOSSIE, CODIE, OW2 and Gartner awards
>>> http://p.sf.net/sfu/Bonitasoft
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>>
>>
>>
>> --
>> <https://implementingquantlib.blogspot.com>
>> <https://twitter.com/lballabio>
>>
>