Posted by
Peter Caspers-4 on
Mar 31, 2015; 11:30am
URL: http://quantlib.414.s1.nabble.com/Inflation-Question-tp16424.html
Inflation Experts,
the CPI Fixings für EUHICPXT for Dec 14 and Jan 15 are 117.01 and
115.13 respectively.
Looking at market quotes for a 1y zero coupon swap I see
27-03-2015 0.443
30-03-2015 0.433
so no bigger movements. However, evaluating the 1y swap as of these dates,
27-03-2015 + 2bd = 31-03-2015 minus 3m lag => 31-12-14 => Base Fixing
= Dec Fixing = 117.01
30-03-2015 + 2bd = 01-04-2015 minus 3m lag => 01-01-2015 => Base
Fixing = Jan Fixing = 115.01
which would mean that the CPI projection changes drastically.
I have the feeling that I am getting a convention wrong here. Can someone help ?
Thanks
Peter
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