[Quantlib-dev] Inflation index fixings in the future

[Daniele M. <dan...@gm...>]

Dear Luigi,



the question is strictly on the file “inflationindex.cpp”.



What I lack is the possibility to give use in the index a set of fixings in
the future. That is, we have forecasted index values (so, future fixings)
directly from the market data provider and we would like to use them in
place of the forecasting function done by the zeroInflationTermStructure.

Given the current version, I can load into IndexManager future fixings, no
problem.

The issue comes in the functionZeroInflationIndex::fixing and then
ZeroInflationIndex::needsForecast.

In the latter, latestNeededDate is basically evaluation date “minus”
availabilityLag and it is assumed that everything coming after that date
needs a forecast from term structure.

Is there a way to obtain what I need, i.e. to use fixings from time-series
also in case of future dates?



        if (latestNeededDate <= historicalFixingKnown) {

            // the fixing date is well before the availability lag, so

            // we know that fixings were provided.

            return false;

        } else if (latestNeededDate > today) {

            // the fixing can't be available, no matter what's in the

            // time series

            return true;

        }



Thank you

Daniele marconi
-- 
Daniele Marconi