http://quantlib.414.s1.nabble.com/Valuing-CPI-Bond-at-real-yield-curve-tp15354p15364.html
yes, understand. So you use the CPI classes only to compute this fixed
anyway, main thing is that is works. interesting case, thanks
> Thanks.
>
> Yes, Piter explains it correctly.
>
> Peter, the standard fixed rate bond pricing calculation is almost correct,
> but an inflation factor has to be applied. I think of it as an 'accumulated
> inflation' factor that represents the growth in coupons from issue date to
> valuation date. See page 4 and 5 of
>
http://www.riskworx.co.za/resources/Inflation-linked%20Instruments.pdf for
> the full methodology.
>
> regards
>
> Francois Botha
>
>
> On 3 June 2014 20:10, Piter Dias <
[hidden email]> wrote:
>>
>> I think he wants to use a "spot inflation index" (kind a dummy currency)
>> and evaluates using real interest rates. It is a procedure usual in
>> Brazilian inflation market, for example.
>>
>> This procedure doesn't requires a inflation forecast curve, as long as the
>> real rates are observable.
>>
>> Just as an example, all NTNB (Brazilian inflation bond) rates at the
>> following like a real YTM:
>>
http://www3.tesouro.gov.br/tesouro_direto/consulta_titulos_novosite/consultatitulos.asp>>
>> Regards,
>>
>>
>> _____________________
>> Piter Dias
>>
[hidden email]
>> www.piterdias.com
>>
>>
>>
>> > Date: Tue, 3 Jun 2014 20:02:12 +0200
>> > 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
>> > >>
>> > >>
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