Re: [Quantlib-users] Turkey Index-Linked Bonds

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

Hi Berat,

My suggestion would be to just create your own TRCPI class and follow the
example of the other country inflation classes. However, I believe the 3
month observation lag doesn't affect your index directly, but rather the
ZeroInflationTermStructure, which is then an input to your index. The index
itself does accept an availability lag, which is typically 1 month.

I had to do similar work on South African CPI bonds and I just used the
code from inflationcpibond.cpp in the test suite, which uses UKRPI bonds.
You'll notice the observationLag is defined as 2 months, so I'm unsure
whether you should keep it at 2 or change it to 3.

regards
Francois Botha


On Wed, 30 Sep 2020 at 15:03, berat postalcioglu <bpo...@gm...>
wrote:

> Hi all,
>
> I want to use CPI bond calculation with QuantLib for Turkey. The daily
> reference index calculation in Turkey is as follow:
>
> [image: cpi_turkey.PNG]
>
> Should I use UKRPI class for cpi bond calculation? It seems the UK is
> using 3 month indexation lag.
>
> Thanks in advance. Regards.
>
> --
> BERAT POSTALCIOĞLU
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