[Quantlib-dev] Bootstrap inflation term structure from underlying CPI bonds

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

Hi all,

I would like to bootstrap an inflation term structure from underlying CPI
bonds, so that when these CPI bonds' coupons and redemption are accrued
with the solved inflation term structure and discounted at a given nominal
discount curve, the price of the CPI bonds reconcile back to quoted market
values.

It seems that the only classes that
implement BootstrapHelper<ZeroInflationTermStructure> currently
are ZeroCouponInflationSwapHelper and YearOnYearInflationSwapHelper and I
think neither of these are suitable for my needs.

So I would have to implement a new helper class that implements
BootstrapHelper<ZeroInflationTermStructure> and accepts a CPIBond instance.

Please confirm whether my understanding is correct or whether I'm wrong.

I eventually want to produce an inflation term structure that assumes flat
forward rates, so I will have to implement corresponding classes based on
forwards, analogous to the current zero rate classes.

Would it be possible to refactor PiecewiseZeroInflationCurve to be a
generic PiecewiseInflationCurve (similar to PiecewiseYieldCurve) and accept
the trait (zero,discount,forward) as a generic parameter?

thanks
Francois Botha