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

[berat p. <bpo...@gm...>]

Thanks for your suggestions,

As you suggest I will implement a TRCPI class with ZeroInflationIndex. I
think I need to define observationLag as 3.

Regards.

On Fri, Oct 2, 2020 at 12:07 PM Francois Botha <ig...@gm...> wrote:

> 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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>

-- 
BERAT POSTALCIOĞLU