Re: Inflation Bond ([e-mail])

[Pomarico Francesco Ivan]

Hi Chris,

 

I’d also like to have inflation bonds in QL. Is there something already done in development?

 

As a matter of fact I was trying to figure out how to implement the Jarrow-Yildirim model using what have been already done in QL with calibration and pricing of ZC and YY swap and IICapFloor. This is because the generic structured bonds I need to price have some optionality in it not allowing negative coupons if inflation index rate turns out to be negative.

 

I understand from the BoE article that you would need an inflation curve bootstrapped from inflation bond quotes for pricing inflation bonds instead of getting the curve from swap, but honestly a plain JY is more than adequate for me at the moment.

Thanks a lot.

 

Best regards,

Ivan

 

---

From: Chris Kenyon [mailto:[hidden email]]
Sent: Tuesday, August 18, 2009 10:06 AM
To: [hidden email]; [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] 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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