Hi,
I am comparing Murex and QuantLib concerning Inflation Pricing. I observe a difference in the way an index fixing is interpolated between known (i.e. already fixed) values. Here is an example:
Take the EUHICP XT index which has fixings
01.08.2012 (Aug 12) 115.10
01.09.2012 (Sep 12) 115.97
Now I want to look up the fixing on 28.08.2012 belonging to an observation date on 28.11.2012 (3m observation lag). In QL the interpolation is done as follows:
Days between 01.08. and 01.09. = 31, Days between 01.08. and 28.08. = 27, Interpolated Fixing = 115.10 + 27/31 * ( 115.97 - 115.10 )
In Murex on the opposite:
Days between 01.11. and 01.12. = 30, Days between 01.11. and 28.11. = 27, Interpolated Fixing = 115.10 + 27/30 * ( 115.97 - 115.10 )
Which computation is the correct one, i.e. what is the market convention that is actually applied to deals ? Maybe I am using the QL classes not as intended ?
Thanks a lot
Peter
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