ZeroCouponInflationSwap - wrong legs calculation?

Posted by Alexander Lotter on Dec 15, 2009; 9:41pm
URL: http://quantlib.414.s1.nabble.com/ZeroCouponInflationSwap-wrong-legs-calculation-tp13265.html

Hello all,

I checked the source code for the ZeroCouponInflationSwap and found out, that the fixed leg ist computed using the following formula:

nominal * ( 1 + fixedRate ) ^ T

For the inflation leg the formula was

nominal * ( I(T1) / I(T0) )

The right formulas in my opinion are:

Fixed Leg = nominal * ( 1 + fixedRate ) ^ T - 1 )
Inflation Leg = nominal * ( I(T1) / I(T0) - 1 )

This definition I saw in termsheets, papers and books.

Best

Alexander