Re: Interpolated ZeroInflationIndexes

Posted by igitur on Jun 18, 2014; 3:27pm
URL: http://quantlib.414.s1.nabble.com/Interpolated-ZeroInflationIndexes-tp15507p15509.html

Haha. I actually did read your email the other day, but I didn't make the connection when I discovered the issue now. No fix yet, but I'll see if I can get something together. It will have to  involve passing the original reference date through to the fixing algorithm.

F

Francois Botha

On 18 June 2014 17:17, Peter Caspers <[hidden email]> wrote:

Hi Francois,

yes, you have to use June's 30 days. This is corresponding to the
question I sent earlier (see below), the second (Murex) way of doing
the interpolation is the correct one.

Do you have a fix for that ? This would be great.

best
Peter

I am comparing Murex and QuantLib concerning Inflation Pricing. I
observe a difference in the way an index fixing is interpolated
between known (i.e. already fixed) values. Here is an example:
Take the EUHICP XT index which has fixings
01.08.2012 (Aug 12) 115.10
01.09.2012 (Sep 12) 115.97
Now I want to look up the fixing on 28.08.2012 belonging to an
observation date on 28.11.2012 (3m observation lag). In QL the
interpolation is done as follows:
Days between 01.08. and 01.09. = 31, Days between 01.08. and 28.08. =
27, Interpolated Fixing = 115.10 + 27/31 * ( 115.97 - 115.10 )
In Murex on the opposite:
Days between 01.11. and 01.12. = 30, Days between 01.11. and 28.11. =
27, Interpolated Fixing = 115.10 + 27/30 * ( 115.97 - 115.10 )

On 18 June 2014 16:50, Francois Botha <[hidden email]> wrote:
> Hi,
>
> I think the interpolation in ZeroInflationIndex::fixing isn't exactly
> correctly.
>
> Consider a linearly interpolated Zero Inflation Index with observation lag
> of 4 months. If the reference date is in June, the observation date will be
> in February, which has only 28 days. I believe the interpolation should use
> June's 30 days instead of February's 28 days. As it is, the interpolation
> will be "maxed out" by 28 June and will remain flat until 30 June.  Do you
> guys agree?
>
> regards
> Francois Botha
>

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