Re: Inflation Bond (Piter Dias)

[Chris Kenyon-2]

Hi Piter,

first thing would be to get the Brazilian InflationIndex set up.  If you look at UKRPI and the YY- versions that should be direct.  However, please check carefully that the current setup does capture the relevant aspects of the Brazilian inflation index.  The way to check what you need (as I'm sure you know) is to look at the termsheets from some of your c/ps and look at the fixing definition.

Second thing is that it looks like there is interest in having bond bootstrapping in the library.  Then you can do true real rate as well as breakeven version (there is a basis between them).  Now, as you mention, getting a swap curve from that requires "trader input", i.e. an estimate of the bond-swap basis.  This is generally proprietary.  Hence, we could probably do with a spreaded version of the zero inflation curve.  Comments anyone?

Regards,
Chris

Message: 3
Date: Tue, 18 Aug 2009 06:06:08 -0300
From: Piter Dias <[hidden email]>
Subject: Re: [Quantlib-dev] Inflation Bond
To: <[hidden email]>
Message-ID: <[hidden email]>
Content-Type: text/plain; charset="utf-8"



Hi,

I just worked on inflation curves generation for the institution I
work here in Brazil. The base products are inflation Bonds (NTNB if you
know Brazilian market).

>From a group of NTNB I bootstrapd a zero real
rate curve (Brazil trading is all about real rate), a inflation forecast
(called breakeven, a simple non-arbitrage spread for a credit modelling
team) and a Swap curve.

The Swap was trick because there isn't liquidity,
so the trader would like to use the NTNB yields +- some spread by bond and
create a zero curve whose nodes were the bonds duration.

I made a little
bit different, using NTNB yields +- some spread but bootstrapping a zero
curve from it. They told that "now they have a Swap curve". 

Well, that
said, I don't know anything about inflation products in other countries but
I would like to help you to test and enhance QuantLib for Brazilian
inflation products. I would, at least, write some testsuites.

Could you
let me know if there is something I can do to help?

Regards,

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