R: Re: Inflation Bond ([e-mail])

Hi Chris ,

thanks for your answer but it's not all clear

ok I can't bootstrap forward inflation from inflation-linked-bond quotes  but Looking at the latest version on SVN repository,
I can see the inflationcoupon class e Inflationcouponpricer class.

Can I use those class to define an inflation bond ? Moreover we suppose we need  an "Inflationleg" too

somenthing wrong? 

thanks for the article it's intresting

Regards

Alessandro

 

----Messaggio originale----
Da: [hidden email]
Data: 18/08/2009 10.05
A: <[hidden email]>, <[hidden email]>, <[hidden email]>
Ogg: Re: Inflation Bond ([hidden email])

-->

Hi Alessandro,

you can't do it as simply as you can price a nominal bond.  The indices and the forward inflation curves bootstrapped from swaps are available, but not inflation coupons (mimicing ibor coupon) nor the relevant helpers to bootstrap forward inflation from inflation-linked-bond quotes. 

Note that you should probably not use a forward curve from inflation swaps to price an inflation bond (see article by Bank of England for a discussion: http://www.bankofengland.co.uk/publications/quarterlybulletin/qb060101.pdf). 

Anyone else need this soon?

Best regards,
Chris

-----Inline Message Follows-----

Hello Everyone,

I am trying to use the inflation code, under experimental folder, to evaluted
a generic bond inflation
but i'm not sure if  is it possible in the present state of QL developement


Someone would be so kind to give me some hints or sample?


Thank you in advance for your help.


Alessandro

 

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[Chris Kenyon-2]

Hi Alesandro,

yes, I was referring to 0.9.7 not the SVN.  The SVN will change over the next couple of weeks as I do some updates.  You can potentially put together a bond from the SVN ... but see previous sentance.

Best regards,
Chris

---

From: "[hidden email]" <[hidden email]>
To: [hidden email]; [hidden email]
Sent: Tuesday, August 18, 2009 1:40:16 PM
Subject: R: Re: Inflation Bond ([hidden email])

Hi Chris ,

thanks for your answer but it's not all clear

ok I can't bootstrap forward inflation from inflation-linked-bond quotes  but Looking at the latest version on SVN repository,
I can see the inflationcoupon class e Inflationcouponpricer class.

Can I use those class to define an inflation bond ? Moreover we suppose we need  an "Inflationleg" too

somenthing wrong? 

thanks for the article it's intresting

Regards

Alessandro

 

----Messaggio originale----
Da: [hidden email]
Data: 18/08/2009 10.05
A: <[hidden email]>, <[hidden email]>, <[hidden email]>
Ogg: Re: Inflation Bond ([hidden email])

-->-->

Hi Alessandro,

you can't do it as simply as you can price a nominal bond.  The indices and the forward inflation curves bootstrapped from swaps are available, but not inflation coupons (mimicing ibor coupon) nor the relevant helpers to bootstrap forward inflation from inflation-linked-bond quotes. 

Note that you should probably not use a forward curve from inflation swaps to price an inflation bond (see article by Bank of England for a discussion: http://www.bankofengland.co.uk/publications/quarterlybulletin/qb060101.pdf). 

Anyone else need this soon?

Best regards,
Chris

-----Inline Message Follows-----

Hello Everyone,

I am trying to use the inflation code, under experimental folder, to evaluted
a generic bond inflation
but i'm not sure if  is it possible in the present state of QL developement


Someone would be so kind to give me some hints or sample?


Thank you in advance for your help.


Alessandro

 

------------------------------------------------------------------------------
Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
trial. Simplify your report design, integration and deployment - and focus on
what you do best, core application coding. Discover what's new with
Crystal Reports now.  http://p.sf.net/sfu/bobj-july
_______________________________________________
QuantLib-dev mailing list
[hidden email]
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