Re: Inflation Bond ([e-mail])

[Chris Kenyon-2]

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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[Piter Dias-4]

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,

 

 

On Tue, 18 Aug 2009 01:05:52 -0700 (PDT), Chris Kenyon <[hidden email]> wrote:

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

 

--

Piter Dias
[hidden email]

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