http://quantlib.414.s1.nabble.com/Using-Inflation-Term-Structure-instead-of-CPI-indices-when-they-overlap-tp15428p15619.html
Ok, glad to hear it. So Napoleon was right---half of one's letters
> Thanks Luigi,
>
> I'm almost done with a Pull Request for this. It solves my usecase and
> you'll be glad to know that it concludes all my issues with bond yield curve
> bootstrapping :).
>
> Before I can submit this PR, I have to complete the CPI reference period fix
> that Peter and I are working on.
>
> Francois Botha
>
>
> On 18 July 2014 14:47, Luigi Ballabio <
[hidden email]> wrote:
>>
>> Hi Francois,
>> sorry it took lo long---it seems that your post slipped through a
>> crack and I lost track of it. So, in case you haven't gone ahead or
>> given up yet: yes, I think you should enable the forecastTodaysFixing
>> parameter so it's used in the ZeroInflationIndex::fixing() method. As
>> for the CPICoupon, I'm not sure. A parameter that allows both
>> behaviors seems safer at this point. In any case, I suggest you check
>> if there are any test cases for this, and if not (as it's likely) you
>> might add a few of them so we're sure that you get your desired
>> behavior and nothing else breaks.
>>
>> Later,
>> Luigi
>>
>>
>>
>> On Mon, Jun 9, 2014 at 12:33 PM, Francois Botha <
[hidden email]> wrote:
>> > Hi,
>> >
>> > This is a continuation of the discussion at
>> >
>> >
http://quantlib.10058.n7.nabble.com/Valuing-CPI-Bond-at-real-yield-curve-td15354.html>> > .
>> >
>> > To recap: I want to value a CPI Bond by discounting at the real yield
>> > curve
>> > and input a zero inflation curve consisting only of 0 rates. I've
>> > successfully constructed that curve using InterpolatedZeroCurve. This
>> > curve
>> > is used for forecasting CPI indices. I also input historic CPI indices
>> > from
>> > far back to the most recent available.
>> >
>> > I'm now in a tricky situation where there is a bit of overlap. Suppose
>> > my
>> > settlement date is 2014-05-27 and my observation lag is 4 months. What I
>> > want to do is use actual CPI indices up to the lagged date of 2014-01-27
>> > (calculated by linear interpolation between 2014-01-01 and 2014-02-01)
>> > and
>> > for anything after that I want to use the zero inflation curve, which
>> > implies any index that is looked up for a date after 2014-01-27 will be
>> > exactly the same (no growth).
>> >
>> > My zero inflation curve already has a base date of 2014-01-27, and my
>> > historic CPI indices go up to April 2014. So there is a bit of overlap.
>> > At
>> > the moment, the ZeroInflationIndex.fixing() method prefers to use CPI
>> > indices if they are available. I want to rather use the zero inflation
>> > curve. There is a forecastTodaysFixing parameter which is currently
>> > ignored.
>> >
>> > I propose to implement the forecastTodaysFixing so that when a 'true' is
>> > passed to it, the method will rather using the forecasting part and thus
>> > use
>> > the zero inflation curve. In CPICoupon, where this method is called, I
>> > will
>> > check whether the zero inflation curve base date is before the
>> > CPICoupon's
>> > fixing date and if so, pass 'true'. Or the alternative is to introduce a
>> > new
>> > parameter in the CPIBond constructor and pass this through to CPICoupon
>> > to
>> > determine which of the two curves get preference.
>> >
>> > I'm posting here to ask what I should look out for? I don't want to
>> > introduce a breaking change. The fixing date methods are quite tricky
>> > and it
>> > took me a while to get my head around it. Any advice will be
>> > appreciated.
>> >
>> > As a sidenote, limiting the historic CPI indices up to an earlier date
>> > doesn't solve the problem. The algorithm uses the availability and
>> > observation lags to deduce up to which date the CPI index should be
>> > used. So
>> > if I exclude indices after 2014-02-01, then a lookup error occurs.
>> >
>> > regards,
>> > Francois Botha
>> >
>> >
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>> >
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>>
>>
>>
>> --
>> <
https://implementingquantlib.blogspot.com>
>> <
https://twitter.com/lballabio>
>
>