Hi,
while in need of the seasonality described in the Lehmann Paper "Inflation Derivatives explained" as can be found here
http://the.earth.li/~jon/junk/Kerkhoff.pdf i specialized the multiplicativepriceseasonality class.
When overwriting the seasonal correcttion and the seasonalityFactor Methods i found that the seasonal factor obtained from seasonalityFactor() was not reproduced when i calculated the ratio of the undajusted 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.
So seasonal Correction is always called with d-uselag. While the base for the forecasting might differ from that.
In my view it should never differ. Adjusting the zero-rate rate should always reproduce the factor. And so the time implicitly used in this zero rate adjustment should always be the time used in the application of the zero rate for forecasting.
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 as the one used in forecasting.
Or, if we keep the call to seasoaalityCorretion() as it is, that is it gets d-uselag, 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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