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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