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inflation seasonality

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BL BL

inflation seasonality

Hi,

while in need of the seasonality described in the Lehmann/Kerkhoff
Paper "Inflation Derivatives explained" i specialized the
multiplicativepriceseasonality class.

When overwriting the seasonal correction and the seasonalityFactor
Methods i found that the seasonal factor obtained from
seasonalityFactor() was not reproduced when i calculated the ratio of
the adjusted forecasted fixing (obtained by calling
setSeasonality("myseasonality") devided by the unadjusted value
(obtained with setSeasonality() thus removing seasonality).

But this is a basic requirement. I was able to track this down to a
(seemingly) mismatch in the call to the index forecast method. Which
is in intlationindex.cpp at line 186 (QL1.5). And the call to the
seasonalCorrction() at inflationtermstructure.cpp at line 173. They
use a different base for the zero rate sometimes. In my view it should
never differ.

So the quotient of adjusted index forecast/unadjusted index forecast
is no longer what it should be.

To make a long story short i would suggest either coying the behavior
in the forecast so to always pass the same baseDate to the seasonality
correction as the one used in forecasting the index.

Or, if we keep the call to seasoaalityCorretion() as it is, that is we
use a default, it seems to me a better default would be the first day
of the inflation reference month. That would at least fit well in case
of an uninterpolated HICP Index and an application of the kerhoff
paper seasonality.

Any Suggestions?

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Luigi Ballabio

Re: inflation seasonality

Hello,
did you try the change already? May you send a patch I can apply?

Thanks,

Luigi

On Mon, Jun 29, 2015 at 10:09 AM BL BL <[hidden email]> wrote:

Hi,

while in need of the seasonality described in the Lehmann/Kerkhoff
Paper "Inflation Derivatives explained" i specialized the
multiplicativepriceseasonality class.

When overwriting the seasonal correction and the seasonalityFactor
Methods i found that the seasonal factor obtained from
seasonalityFactor() was not reproduced when i calculated the ratio of
the adjusted forecasted fixing (obtained by calling
setSeasonality("myseasonality") devided by the unadjusted value
(obtained with setSeasonality() thus removing seasonality).

But this is a basic requirement. I was able to track this down to a
(seemingly) mismatch in the call to the index forecast method. Which
is in intlationindex.cpp at line 186 (QL1.5). And the call to the
seasonalCorrction() at inflationtermstructure.cpp at line 173. They
use a different base for the zero rate sometimes. In my view it should
never differ.

So the quotient of adjusted index forecast/unadjusted index forecast
is no longer what it should be.

To make a long story short i would suggest either coying the behavior
in the forecast so to always pass the same baseDate to the seasonality
correction as the one used in forecasting the index.

Or, if we keep the call to seasoaalityCorretion() as it is, that is we
use a default, it seems to me a better default would be the first day
of the inflation reference month. That would at least fit well in case
of an uninterpolated HICP Index and an application of the kerhoff
paper seasonality.

Any Suggestions?

------------------------------------------------------------------------------
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OpManager is web-based network management software that monitors
network devices and physical & virtual servers, alerts via email & sms
for fault. Monitor 25 devices for free with no restriction. Download now
http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
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BL BL

Re: inflation seasonality

Hi,

thanks for your answer.

I will prepare a patch.

For the moment i applied the change as a workaround in a new
seasonality class. I did this to minimize changes to other parts of
QL. I wanted to discuss it further.

But the targeted change will be clear from the modification of the
passed day in the derived class.

the change worked for me. it hit the seasonality as expected.

Bernd

2015-07-06 10:15 GMT+02:00, Luigi Ballabio <[hidden email]>:

> Hello,
> did you try the change already? May you send a patch I can apply?
>
> Thanks,
> Luigi
>
> On Mon, Jun 29, 2015 at 10:09 AM BL BL <[hidden email]> wrote:
>
>> Hi,
>>
>>
>> while in need of the seasonality described in the Lehmann/Kerkhoff
>> Paper "Inflation Derivatives explained" i specialized the
>> multiplicativepriceseasonality class.
>>
>>
>> When overwriting the seasonal correction and the seasonalityFactor
>> Methods i found that the seasonal factor obtained from
>> seasonalityFactor() was not reproduced when i calculated the ratio of
>> the adjusted forecasted fixing (obtained by calling
>> setSeasonality("myseasonality") devided by the unadjusted value
>> (obtained with setSeasonality() thus removing seasonality).
>>
>>
>> But this is a basic requirement. I was able to track this down to a
>> (seemingly) mismatch in the call to the index forecast method. Which
>> is in intlationindex.cpp at line 186 (QL1.5). And the call to the
>> seasonalCorrction() at inflationtermstructure.cpp at line 173. They
>> use a different base for the zero rate sometimes. In my view it should
>> never differ.
>>
>>
>> So the quotient of adjusted index forecast/unadjusted index forecast
>> is no longer what it should be.
>>
>> To make a long story short i would suggest either coying the behavior
>> in the forecast so to always pass the same baseDate to the seasonality
>> correction as the one used in forecasting the index.
>>
>>
>> Or, if we keep the call to seasoaalityCorretion() as it is, that is we
>> use a default, it seems to me a better default would be the first day
>> of the inflation reference month. That would at least fit well in case
>> of an uninterpolated HICP Index and an application of the kerhoff
>> paper seasonality.
>>
>>
>> Any Suggestions?
>>
>>
>> ------------------------------------------------------------------------------
>> Monitor 25 network devices or servers for free with OpManager!
>> OpManager is web-based network management software that monitors
>> network devices and physical & virtual servers, alerts via email & sms
>> for fault. Monitor 25 devices for free with no restriction. Download now
>> http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
> --
>
> <http://leanpub.com/implementingquantlib/>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>

BL BL

Re: inflation seasonality

Hi Luigi,

the patch file is attached.

i created the patch against a 1.6 tar ball.

Please let me know if you have any trouble applying it.

Cheers,

Bernd

2015-07-07 14:00 GMT+02:00 BL BL <[hidden email]>:

Hi,

thanks for your answer.

I will prepare a patch.

For the moment i applied the change as a workaround in a new
seasonality class. I did this to minimize changes to other parts of
QL. I wanted to discuss it further.

But the targeted change will be clear from the modification of the
passed day in the derived class.

the change worked for me. it hit the seasonality as expected.

Bernd

2015-07-06 10:15 GMT+02:00, Luigi Ballabio <[hidden email]>:
> Hello,
> did you try the change already? May you send a patch I can apply?
>
> Thanks,
> Luigi
>
> On Mon, Jun 29, 2015 at 10:09 AM BL BL <[hidden email]> wrote:
>
>> Hi,
>>
>>
>> while in need of the seasonality described in the Lehmann/Kerkhoff
>> Paper "Inflation Derivatives explained" i specialized the
>> multiplicativepriceseasonality class.
>>
>>
>> When overwriting the seasonal correction and the seasonalityFactor
>> Methods i found that the seasonal factor obtained from
>> seasonalityFactor() was not reproduced when i calculated the ratio of
>> the adjusted forecasted fixing (obtained by calling
>> setSeasonality("myseasonality") devided by the unadjusted value
>> (obtained with setSeasonality() thus removing seasonality).
>>
>>
>> But this is a basic requirement. I was able to track this down to a
>> (seemingly) mismatch in the call to the index forecast method. Which
>> is in intlationindex.cpp at line 186 (QL1.5). And the call to the
>> seasonalCorrction() at inflationtermstructure.cpp at line 173. They
>> use a different base for the zero rate sometimes. In my view it should
>> never differ.
>>
>>
>> So the quotient of adjusted index forecast/unadjusted index forecast
>> is no longer what it should be.
>>
>> To make a long story short i would suggest either coying the behavior
>> in the forecast so to always pass the same baseDate to the seasonality
>> correction as the one used in forecasting the index.
>>
>>
>> Or, if we keep the call to seasoaalityCorretion() as it is, that is we
>> use a default, it seems to me a better default would be the first day
>> of the inflation reference month. That would at least fit well in case
>> of an uninterpolated HICP Index and an application of the kerhoff
>> paper seasonality.
>>
>>
>> Any Suggestions?
>>
>>
>> ------------------------------------------------------------------------------
>> Monitor 25 network devices or servers for free with OpManager!
>> OpManager is web-based network management software that monitors
>> network devices and physical & virtual servers, alerts via email & sms
>> for fault. Monitor 25 devices for free with no restriction. Download now
>> http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
> --
>
> <http://leanpub.com/implementingquantlib/>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>

QuantLib-1.6.patch (49K) Download Attachment

Luigi Ballabio

Re: inflation seasonality

Thanks.

On Wed, Jul 8, 2015 at 9:30 PM BL BL <[hidden email]> wrote:

Hi Luigi,

the patch file is attached.

i created the patch against a 1.6 tar ball.

Please let me know if you have any trouble applying it.

Cheers,

Bernd

2015-07-07 14:00 GMT+02:00 BL BL <[hidden email]>:
Hi,

thanks for your answer.

I will prepare a patch.

For the moment i applied the change as a workaround in a new
seasonality class. I did this to minimize changes to other parts of
QL. I wanted to discuss it further.

But the targeted change will be clear from the modification of the
passed day in the derived class.

the change worked for me. it hit the seasonality as expected.

Bernd

2015-07-06 10:15 GMT+02:00, Luigi Ballabio <[hidden email]>:
> Hello,
> did you try the change already? May you send a patch I can apply?
>
> Thanks,
> Luigi
>
> On Mon, Jun 29, 2015 at 10:09 AM BL BL <[hidden email]> wrote:
>
>> Hi,
>>
>>
>> while in need of the seasonality described in the Lehmann/Kerkhoff
>> Paper "Inflation Derivatives explained" i specialized the
>> multiplicativepriceseasonality class.
>>
>>
>> When overwriting the seasonal correction and the seasonalityFactor
>> Methods i found that the seasonal factor obtained from
>> seasonalityFactor() was not reproduced when i calculated the ratio of
>> the adjusted forecasted fixing (obtained by calling
>> setSeasonality("myseasonality") devided by the unadjusted value
>> (obtained with setSeasonality() thus removing seasonality).
>>
>>
>> But this is a basic requirement. I was able to track this down to a
>> (seemingly) mismatch in the call to the index forecast method. Which
>> is in intlationindex.cpp at line 186 (QL1.5). And the call to the
>> seasonalCorrction() at inflationtermstructure.cpp at line 173. They
>> use a different base for the zero rate sometimes. In my view it should
>> never differ.
>>
>>
>> So the quotient of adjusted index forecast/unadjusted index forecast
>> is no longer what it should be.
>>
>> To make a long story short i would suggest either coying the behavior
>> in the forecast so to always pass the same baseDate to the seasonality
>> correction as the one used in forecasting the index.
>>
>>
>> Or, if we keep the call to seasoaalityCorretion() as it is, that is we
>> use a default, it seems to me a better default would be the first day
>> of the inflation reference month. That would at least fit well in case
>> of an uninterpolated HICP Index and an application of the kerhoff
>> paper seasonality.
>>
>>
>> Any Suggestions?
>>
>>
>> ------------------------------------------------------------------------------
>> Monitor 25 network devices or servers for free with OpManager!
>> OpManager is web-based network management software that monitors
>> network devices and physical & virtual servers, alerts via email & sms
>> for fault. Monitor 25 devices for free with no restriction. Download now
>> http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
> --
>
> <http://leanpub.com/implementingquantlib/>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>

<http://leanpub.com/implementingquantlib/>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

Luigi Ballabio

Re: inflation seasonality

Hi Bernd,

apologies, I only just managed to look at your patch. Would you prefer to keep the separate class (in which case we might need a more descriptive name...) or the idea would be to merge the change into MultiplicativePriceSeasonality, possibly with a switch between the two behaviors?

Luigi

On Thu, Jul 16, 2015 at 3:13 PM Luigi Ballabio <[hidden email]> wrote:

Thanks.

On Wed, Jul 8, 2015 at 9:30 PM BL BL <[hidden email]> wrote:
Hi Luigi,

the patch file is attached.

i created the patch against a 1.6 tar ball.

Please let me know if you have any trouble applying it.

Cheers,

Bernd

2015-07-07 14:00 GMT+02:00 BL BL <[hidden email]>:
Hi,

thanks for your answer.

I will prepare a patch.

For the moment i applied the change as a workaround in a new
seasonality class. I did this to minimize changes to other parts of
QL. I wanted to discuss it further.

But the targeted change will be clear from the modification of the
passed day in the derived class.

the change worked for me. it hit the seasonality as expected.

Bernd

2015-07-06 10:15 GMT+02:00, Luigi Ballabio <[hidden email]>:
> Hello,
> did you try the change already? May you send a patch I can apply?
>
> Thanks,
> Luigi
>
> On Mon, Jun 29, 2015 at 10:09 AM BL BL <[hidden email]> wrote:
>
>> Hi,
>>
>>
>> while in need of the seasonality described in the Lehmann/Kerkhoff
>> Paper "Inflation Derivatives explained" i specialized the
>> multiplicativepriceseasonality class.
>>
>>
>> When overwriting the seasonal correction and the seasonalityFactor
>> Methods i found that the seasonal factor obtained from
>> seasonalityFactor() was not reproduced when i calculated the ratio of
>> the adjusted forecasted fixing (obtained by calling
>> setSeasonality("myseasonality") devided by the unadjusted value
>> (obtained with setSeasonality() thus removing seasonality).
>>
>>
>> But this is a basic requirement. I was able to track this down to a
>> (seemingly) mismatch in the call to the index forecast method. Which
>> is in intlationindex.cpp at line 186 (QL1.5). And the call to the
>> seasonalCorrction() at inflationtermstructure.cpp at line 173. They
>> use a different base for the zero rate sometimes. In my view it should
>> never differ.
>>
>>
>> So the quotient of adjusted index forecast/unadjusted index forecast
>> is no longer what it should be.
>>
>> To make a long story short i would suggest either coying the behavior
>> in the forecast so to always pass the same baseDate to the seasonality
>> correction as the one used in forecasting the index.
>>
>>
>> Or, if we keep the call to seasoaalityCorretion() as it is, that is we
>> use a default, it seems to me a better default would be the first day
>> of the inflation reference month. That would at least fit well in case
>> of an uninterpolated HICP Index and an application of the kerhoff
>> paper seasonality.
>>
>>
>> Any Suggestions?
>>
>>
>> ------------------------------------------------------------------------------
>> Monitor 25 network devices or servers for free with OpManager!
>> OpManager is web-based network management software that monitors
>> network devices and physical & virtual servers, alerts via email & sms
>> for fault. Monitor 25 devices for free with no restriction. Download now
>> http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
> --
>
> <http://leanpub.com/implementingquantlib/>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>

--
<http://leanpub.com/implementingquantlib/>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

<http://leanpub.com/implementingquantlib/>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

------------------------------------------------------------------------------

_______________________________________________
QuantLib-users mailing list
[hidden email]
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BL BL

Re: inflation seasonality

Hi Luigi,

thanks for coming back to this topic.

I would suggest to keep the code in a separate class. A more descriptive name would be KerkhofSeasonality. Named after the Paper it implements.

Bernd

2015-10-01 14:48 GMT+02:00 Luigi Ballabio <[hidden email]>:

Hi Bernd,
apologies, I only just managed to look at your patch. Would you prefer to keep the separate class (in which case we might need a more descriptive name...) or the idea would be to merge the change into MultiplicativePriceSeasonality, possibly with a switch between the two behaviors?

Luigi

On Thu, Jul 16, 2015 at 3:13 PM Luigi Ballabio <[hidden email]> wrote:
Thanks.

On Wed, Jul 8, 2015 at 9:30 PM BL BL <[hidden email]> wrote:
Hi Luigi,

the patch file is attached.

i created the patch against a 1.6 tar ball.

Please let me know if you have any trouble applying it.

Cheers,

Bernd

2015-07-07 14:00 GMT+02:00 BL BL <[hidden email]>:
Hi,

thanks for your answer.

I will prepare a patch.

For the moment i applied the change as a workaround in a new
seasonality class. I did this to minimize changes to other parts of
QL. I wanted to discuss it further.

But the targeted change will be clear from the modification of the
passed day in the derived class.

the change worked for me. it hit the seasonality as expected.

Bernd

2015-07-06 10:15 GMT+02:00, Luigi Ballabio <[hidden email]>:
> Hello,
> did you try the change already? May you send a patch I can apply?
>
> Thanks,
> Luigi
>
> On Mon, Jun 29, 2015 at 10:09 AM BL BL <[hidden email]> wrote:
>
>> Hi,
>>
>>
>> while in need of the seasonality described in the Lehmann/Kerkhoff
>> Paper "Inflation Derivatives explained" i specialized the
>> multiplicativepriceseasonality class.
>>
>>
>> When overwriting the seasonal correction and the seasonalityFactor
>> Methods i found that the seasonal factor obtained from
>> seasonalityFactor() was not reproduced when i calculated the ratio of
>> the adjusted forecasted fixing (obtained by calling
>> setSeasonality("myseasonality") devided by the unadjusted value
>> (obtained with setSeasonality() thus removing seasonality).
>>
>>
>> But this is a basic requirement. I was able to track this down to a
>> (seemingly) mismatch in the call to the index forecast method. Which
>> is in intlationindex.cpp at line 186 (QL1.5). And the call to the
>> seasonalCorrction() at inflationtermstructure.cpp at line 173. They
>> use a different base for the zero rate sometimes. In my view it should
>> never differ.
>>
>>
>> So the quotient of adjusted index forecast/unadjusted index forecast
>> is no longer what it should be.
>>
>> To make a long story short i would suggest either coying the behavior
>> in the forecast so to always pass the same baseDate to the seasonality
>> correction as the one used in forecasting the index.
>>
>>
>> Or, if we keep the call to seasoaalityCorretion() as it is, that is we
>> use a default, it seems to me a better default would be the first day
>> of the inflation reference month. That would at least fit well in case
>> of an uninterpolated HICP Index and an application of the kerhoff
>> paper seasonality.
>>
>>
>> Any Suggestions?
>>
>>
>> ------------------------------------------------------------------------------
>> Monitor 25 network devices or servers for free with OpManager!
>> OpManager is web-based network management software that monitors
>> network devices and physical & virtual servers, alerts via email & sms
>> for fault. Monitor 25 devices for free with no restriction. Download now
>> http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
> --
>
> <http://leanpub.com/implementingquantlib/>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>

--
<http://leanpub.com/implementingquantlib/>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

--
<http://leanpub.com/implementingquantlib/>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

Luigi Ballabio

Re: inflation seasonality

Ok, thanks. I'll do that.

On Fri, Oct 2, 2015 at 9:43 AM BL BL <[hidden email]> wrote:

Hi Luigi,

thanks for coming back to this topic.

I would suggest to keep the code in a separate class. A more descriptive name would be KerkhofSeasonality. Named after the Paper it implements.

Bernd

2015-10-01 14:48 GMT+02:00 Luigi Ballabio <[hidden email]>:
Hi Bernd,
apologies, I only just managed to look at your patch. Would you prefer to keep the separate class (in which case we might need a more descriptive name...) or the idea would be to merge the change into MultiplicativePriceSeasonality, possibly with a switch between the two behaviors?

Luigi

On Thu, Jul 16, 2015 at 3:13 PM Luigi Ballabio <[hidden email]> wrote:
Thanks.

On Wed, Jul 8, 2015 at 9:30 PM BL BL <[hidden email]> wrote:
Hi Luigi,

the patch file is attached.

i created the patch against a 1.6 tar ball.

Please let me know if you have any trouble applying it.

Cheers,

Bernd

2015-07-07 14:00 GMT+02:00 BL BL <[hidden email]>:
Hi,

thanks for your answer.

I will prepare a patch.

For the moment i applied the change as a workaround in a new
seasonality class. I did this to minimize changes to other parts of
QL. I wanted to discuss it further.

But the targeted change will be clear from the modification of the
passed day in the derived class.

the change worked for me. it hit the seasonality as expected.

Bernd

2015-07-06 10:15 GMT+02:00, Luigi Ballabio <[hidden email]>:
> Hello,
> did you try the change already? May you send a patch I can apply?
>
> Thanks,
> Luigi
>
> On Mon, Jun 29, 2015 at 10:09 AM BL BL <[hidden email]> wrote:
>
>> Hi,
>>
>>
>> while in need of the seasonality described in the Lehmann/Kerkhoff
>> Paper "Inflation Derivatives explained" i specialized the
>> multiplicativepriceseasonality class.
>>
>>
>> When overwriting the seasonal correction and the seasonalityFactor
>> Methods i found that the seasonal factor obtained from
>> seasonalityFactor() was not reproduced when i calculated the ratio of
>> the adjusted forecasted fixing (obtained by calling
>> setSeasonality("myseasonality") devided by the unadjusted value
>> (obtained with setSeasonality() thus removing seasonality).
>>
>>
>> But this is a basic requirement. I was able to track this down to a
>> (seemingly) mismatch in the call to the index forecast method. Which
>> is in intlationindex.cpp at line 186 (QL1.5). And the call to the
>> seasonalCorrction() at inflationtermstructure.cpp at line 173. They
>> use a different base for the zero rate sometimes. In my view it should
>> never differ.
>>
>>
>> So the quotient of adjusted index forecast/unadjusted index forecast
>> is no longer what it should be.
>>
>> To make a long story short i would suggest either coying the behavior
>> in the forecast so to always pass the same baseDate to the seasonality
>> correction as the one used in forecasting the index.
>>
>>
>> Or, if we keep the call to seasoaalityCorretion() as it is, that is we
>> use a default, it seems to me a better default would be the first day
>> of the inflation reference month. That would at least fit well in case
>> of an uninterpolated HICP Index and an application of the kerhoff
>> paper seasonality.
>>
>>
>> Any Suggestions?
>>
>>
>> ------------------------------------------------------------------------------
>> Monitor 25 network devices or servers for free with OpManager!
>> OpManager is web-based network management software that monitors
>> network devices and physical & virtual servers, alerts via email & sms
>> for fault. Monitor 25 devices for free with no restriction. Download now
>> http://ad.doubleclick.net/ddm/clk/292181274;119417398;o
>> _______________________________________________
>> QuantLib-users mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
> --
>
> <http://leanpub.com/implementingquantlib/>
> <http://implementingquantlib.com>
> <http://twitter.com/lballabio>
>

--
<http://leanpub.com/implementingquantlib/>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

--
<http://leanpub.com/implementingquantlib/>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>

<http://leanpub.com/implementingquantlib/>
<http://implementingquantlib.com>
<http://twitter.com/lballabio>