Index linked bond valuation question

[eyre]

Hi, for the valuation of Index linked Bond, If the observationLag is 3, then we at most only need 3 month fixing prior to evaluation date, right? My understanding is that the code will always look for the fixing on the date of the 1st day of the month, however when I am valuing a index linked bond with the following paramters: issue_date=1/15/2004, maturity_date=1/15/2019, evaluation_date=7/14/2014, coupon_frequency=semiannual.
I have an issue that if the evaluation_date is in 7/1/2014-7/14/2014, it will generate an exception saying missing fixing for May,1st 2014. but if the evaluation_date is later or equal to 7/15/2014, then no exception will be generated. In the code, I only add one fixing which is for the date (evaluation_date-3 months).
Could someone cast some light why I have exception before 7/15/2014 but no exception after 7/15/2014? Thanks !

[eyre]

After some more testing, my understanding is that we will only need to provide two fixing data  prior to the evaluation date if the indexation lag is three months and the publication lag is one month. The date we need to provide fixing is (evaluation date- 3 months) and (evaluation date - 2 months). If anyone can provide your cents on the understanding of the problem, I would appreciate it. Thanks !

[Luigi Ballabio]

Hello,
    do you have some code that we can try to run to reproduce the problem?

Luigi


On Fri, Jul 11, 2014 at 5:41 PM, eyre <[hidden email]> wrote:

> After some more testing, my understanding is that we will only need to
> provide two fixing data  prior to the evaluation date if the indexation lag
> is three months and the publication lag is one month. The date we need to
> provide fixing is (evaluation date- 3 months) and (evaluation date - 2
> months). If anyone can provide your cents on the understanding of the
> problem, I would appreciate it. Thanks !
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Index-linked-bond-valuation-question-tp15594p15600.html
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