Hi John,
while it is 'clear' how to discount inflation swaps, the credit spread
to be used for TIPS would easily dilute your inflation curve, wouldn't
it ?
Peter
On 25 April 2014 10:26, John Orford <
[hidden email]> wrote:
> Hey Guys,
>
> I translated a CPIBond example from C to Python and noticed that it solely
> uses inflation swap market data to create the inflation term structure.
>
> Is it possible to use tips yields instead? (I tried the deposit helper
> without success)
>
> I am guessing swap data is generally more liquid in any case?
>
> If anyone can throw some light on CPIBonds in Quantlib in general that'd be
> fantastic.
>
> John
>
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