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CPI Bond Unit Test Observation Lag

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ycc1107

CPI Bond Unit Test Observation Lag

Is there anyone know why the Observation lag is 2 months in CPI Bond Unit test?
As far as I know, the lag conversation is 3 months. I wonder if there is a reason to use 2 months. Thank you.

// now build the zero inflation curve
observationLag = Period(2,Months);
`
`
`
cpiTS.linkTo(boost::shared_ptr<ZeroInflationTermStructure>(
new PiecewiseZeroInflationCurve<Linear>(
evaluationDate, calendar, dayCounter, observationLag,
ii->frequency(),ii->interpolated(), baseZeroRate,
Handle<YieldTermStructure>(yTS), helpers)));

Luigi Ballabio

Re: CPI Bond Unit Test Observation Lag

Hello,

no reason that I can think of. Does the tests still pass if you change it to 3 months?

Luigi

On Thu, Mar 20, 2014 at 3:14 PM, ycc1107 <[hidden email]> wrote:

Is there anyone know why the Observation lag is 2 months in CPI Bond Unit
test?
As far as I know, the lag conversation is 3 months. I wonder if there is a
reason to use 2 months. Thank you.

// now build the zero inflation curve
observationLag = Period(2,Months);
`
`
`
cpiTS.linkTo(boost::shared_ptr<ZeroInflationTermStructure>(
new PiecewiseZeroInflationCurve<Linear>(
evaluationDate, calendar, dayCounter,
observationLag,
ii->frequency(),ii->interpolated(), baseZeroRate,
Handle<YieldTermStructure>(yTS), helpers)));

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ycc1107

Re: CPI Bond Unit Test Observation Lag

Yes, it still pass.

Luigi Ballabio

Re: CPI Bond Unit Test Observation Lag

I see. We might change it then.

Luigi

On Wed, Apr 9, 2014 at 4:56 PM, ycc1107 <[hidden email]> wrote:

Yes, it still pass.

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View this message in context: http://quantlib.10058.n7.nabble.com/CPI-Bond-Unit-Test-Observation-Lag-tp15082p15128.html

Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------

Put Bad Developers to Shame
Dominate Development with Jenkins Continuous Integration
Continuously Automate Build, Test & Deployment
Start a new project now. Try Jenkins in the cloud.
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