> From:
[hidden email]> To:
[hidden email]> CC:
[hidden email]> Subject: Re: [Quantlib-users] Valuing CPI Bond at real yield curve
>
> Hi Francois,
> if I get you right, your idea is to directly work in the real
> currency (which indeed may work for zero inflation coupons and
> nominal, I think ...). But why do you need to refer to CPI instruments
> at all then and not just work with usual fix rate bonds and a yield
> term structure for the real curve ?
> best
> Peter
>
> On 3 June 2014 15:37, Luigi Ballabio <
[hidden email]> wrote:
> > I think you should be able to manage with InterpolatedZeroInflationCurve.
> >
> > Luigi
> >
> > On Tue, Jun 3, 2014 at 3:04 PM, Francois Botha <
[hidden email]> wrote:
> >> Hi,
> >>
> >> I want to value a CPI Bond using a real, not nominal, yield curve. As I
> >> understand it, the current CPI Bond methodology requires some CPI indices, a
> >> zero inflation curve and a nominal yield curve. I don't have all those
> >> available, but I should be able to input a real curve instead of nominal
> >> curve (used in discounting) and a flat zero inflation curve consisting of
> >> rates = 0.
> >>
> >> It should give the same value. Conceptually, this method is also the same as
> >> valuing a fixed rate bond, but with an added inflation ratio adjustment,
> >> based on the CPI indices.
> >>
> >> But I'm struggling to create a zero inflation curve which is basically flat
> >> and all 0s. I've tried using PiecewiseZeroInflationCurve and with some
> >> instruments yielding 0s, but I end up with a curve that is not exactly flat
> >> or zero. I suspect it's a consequence of the historic CPI indices and the
> >> fact that they're interpolated.
> >>
> >> Are there any other ways, besides PiecewiseZeroInflationCurve to construct a
> >> ZeroInflationCurve?
> >>
> >> thanks
> >> Francois Botha
> >>
> >> ------------------------------------------------------------------------------
> >> Learn Graph Databases - Download FREE O'Reilly Book
> >> "Graph Databases" is the definitive new guide to graph databases and their
> >> applications. Written by three acclaimed leaders in the field,
> >> this first edition is now available. Download your free book today!
> >> http://p.sf.net/sfu/NeoTech
> >> _______________________________________________
> >> QuantLib-users mailing list
> >>
[hidden email]> >> https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >>
> >
> >
> >
> > --
> > <https://implementingquantlib.blogspot.com>
> > <https://twitter.com/lballabio>
> >
> > ------------------------------------------------------------------------------
> > Learn Graph Databases - Download FREE O'Reilly Book
> > "Graph Databases" is the definitive new guide to graph databases and their
> > applications. Written by three acclaimed leaders in the field,
> > this first edition is now available. Download your free book today!
> > http://p.sf.net/sfu/NeoTech
> > _______________________________________________
> > QuantLib-users mailing list
> >
[hidden email]> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
> ------------------------------------------------------------------------------
> Learn Graph Databases - Download FREE O'Reilly Book
> "Graph Databases" is the definitive new guide to graph databases and their
> applications. Written by three acclaimed leaders in the field,
> this first edition is now available. Download your free book today!
> http://p.sf.net/sfu/NeoTech
> _______________________________________________
> QuantLib-users mailing list
>
[hidden email]> https://lists.sourceforge.net/lists/listinfo/quantlib-users