Posted by
Peter Caspers-4 on
URL: http://quantlib.414.s1.nabble.com/Interpolated-ZeroInflationIndexes-tp15507p15595.html
Hi Francois,
with your fix I get the correct interpolated value (115.883) in my
case below and the test suite seems to run without any regression, so
it looks like it is working well. I have to set the interpolation to
CPI::Linear in the coupon to get this though. With CPI::AsIndex (and
interpolation = true in the index definition) I get the original
(wrong) interpolated value (115.85774). Also indexFixing() always
returns this value no matter what interpolation is set in the coupon
(which is consistent then I guess). I don't know if this makes sense,
maybe we have to apply the same logic as for the coupon to the index
as well, i.e. in ZeroInflationIndex::fixing( aFixing, reference ) we
should take care of the reference date just in the same way as you did
in the coupon ?
In any case, your fix is a step forward. I didn't really check the
code changes you made but noticed that you changed the reference date
in TermStructure from private to protected. Is there a particular
reason for that (you don't seem to need or even use this) ?
Thanks a lot
Peter
On 10 July 2014 16:36, Francois Botha <
[hidden email]> wrote:
> Peter,
>
> Here is my first attempt at solving this bug. Can you confirm whether it
> solves your problem?
>
https://github.com/igitur/quantlib/tree/inflation_reference_period_fix>
> Francois Botha
>
>
> On 18 June 2014 17:27, Francois Botha <
[hidden email]> wrote:
>>
>> 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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>>
>>
>
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