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Re: Inflation Linked Gilt

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Chris Kenyon-2

Re: Inflation Linked Gilt

Hi Leon,

I've added an inflation-lined bond into the QL trunk, as CPIbond in ql/instruments/bonds/cpibond.cpp.

If you look at the new test inflationcpiswap.cpp you'll see how it works - all comments/suggestions welcome.

I've also added some other CPI-linked functionality e.g. CPI-swaps and a CPICapFloor Instrument (test is in inflationcpicapfloor.cpp).

Regards,

Chris

On Thu, 2011-01-06 at 15:00 -0600, Leon Sit wrote:
>> I am trying to implement Inflation Linked Gilt. Is there a general
>> advice on what part of quantlib I can reuse? I think I can probably
>> reuse InflationTermStructurem, InflationIndex, and Bond. Any

>> implementation advice?

>You'll probably want to inherit a class from Coupon that takes an
>InflationIndex and uses it to implement its rate() and accruedAmount()
>methods (possibly a ZeroInflationIndex.  I find it easier to cope with;
>the YoYInflationIndex is a bit more quirky about retrieving fixings.)

>Once you have the coupon, you can inherit a class from Bond. The
>constructor will assemble the correct cash flows. If you're lucky, that
>would be all; if instead your bond price must be rescaled by some
>inflation factor, you'll have to put that calculation somewhere.  You
>might override performCalculation to do the rescaling after calling the
>base-class implementation.

>Luigi

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Leon Sit

Re: [Quantlib-users] Inflation Linked Gilt

Thanks tons! I will look into it and let you know.

I was implementing it for gilt and the day counting convention was
terribly confusing.

Leon

On Sun, Jan 16, 2011 at 2:20 PM, Chris Kenyon <[hidden email]> wrote:

> Hi Leon,
>
> I've added an inflation-lined bond into the QL trunk, as CPIbond in
> ql/instruments/bonds/cpibond.cpp.
>
> If you look at the new test inflationcpiswap.cpp you'll see how it works -
> all comments/suggestions welcome.
>
> I've also added some other CPI-linked functionality e.g. CPI-swaps and a
> CPICapFloor Instrument (test is in inflationcpicapfloor.cpp).
>
> Regards,
>
> Chris
>
> On Thu, 2011-01-06 at 15:00 -0600, Leon Sit wrote:
>>> I am trying to implement Inflation Linked Gilt. Is there a general
>>> advice on what part of quantlib I can reuse? I think I can probably
>>> reuse InflationTermStructurem, InflationIndex, and Bond. Any
>
>>> implementation advice?
>
>>You'll probably want to inherit a class from Coupon that takes an
>>InflationIndex and uses it to implement its rate() and accruedAmount()
>>methods (possibly a ZeroInflationIndex. I find it easier to cope with;
>>the YoYInflationIndex is a bit more quirky about retrieving fixings.)
>
>>Once you have the coupon, you can inherit a class from Bond. The
>>constructor will assemble the correct cash flows. If you're lucky, that
>>would be all; if instead your bond price must be rescaled by some
>>inflation factor, you'll have to put that calculation somewhere. You
>>might override performCalculation to do the rescaling after calling the
>>base-class implementation.
>
>>Luigi
>
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