|
From: Magnus G. <mag...@ho...> - 2023-08-29 10:49:19
|
Dear all, I am currently using QuantlibXL, the newest version being 1.22, and having some issues with seasonality. I`ve attempted to replicated the results I get in excel manually. However, there is one variable which I cannot identify the source to. In MultiplicativePriceSeasonality::seasonalityCorrection, a Rate is passed as an argument which changes several times (for each date that the seasonality adjustment is expected, say monthly, when utilising breakpoints in the code) without me identifying a pattern. Does anyone know why this rate is added? Is it perhaps an adjustment to remove a trend in the underlying CPI index? Kind Regards, Magnus |