Hi,
I’m trying to develop an inflation swap (with intermediate
coupons) where the fixed payments are scaled by a factor (inflation index /
base value).
At the moment, I simply cannot understand the way in which
inflation curves & inflation indexes work in QuantLib.
I understand that there has to be a distinction between
inflation rates based upon year-on-year (either synthetic or derived from an
index). However, I don’t understand the date lag mechanism. There are
several assumptions in place: for instance, the inflation numbers are assumed
to always be published on the 1st of the month. Also, in ZeroInflationIndex::forecastFixing,
why is there a difference between the baseDate, the trueBaseDate, and the curve
reference date?
Can anyone explain the reasoning behind these dates –
also, why does the initial zero rate (the value at the base date) not change
during the bootstrapping?
Cheers,
Simon
Simon Ibbotson
Quantitative Analytics
Capital Markets
Straumur
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