QuantLib - Index fixings at end of month

Index fixings at end of month

Posted by igitur on Nov 13, 2014; 1:22pm
URL: http://quantlib.414.s1.nabble.com/Index-fixings-at-end-of-month-tp16027.html

Hi,

I have an interpolated ZeroInflationIndex. My fixings are supposed to "fix" at the end of each month. So any interpolated value on the end of the month should be equal to the original fixing, i.e. no interpolation occurs. The fixings are applicable from the end of the month back towards the 1st of the same month.

The current ZeroInflationIndex implementation assumes that fixings are on the 1st of the month and apply forward to the rest of the month, so lookups to values at the end of the month are slightly off for my use case.

I can fix this by adding a suitable parameter, but I want to know whether I should include this in the ZeroInflationIndex class or higher up in the InflationIndex class. Besides ZeroInflationIndex, InterestRateIndex and its subclasses also derive from InflationIndex. I'm unsure whether this change would be applicable for those too.

thanks

Francois Botha

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