http://quantlib.414.s1.nabble.com/inflation-seasonality-tp16686p16703.html
seasonality class. I did this to minimize changes to other parts of
QL. I wanted to discuss it further.
the change worked for me. it hit the seasonality as expected.
> Hello,
> did you try the change already? May you send a patch I can apply?
>
> Thanks,
> Luigi
>
> On Mon, Jun 29, 2015 at 10:09 AM BL BL <
[hidden email]> wrote:
>
>> Hi,
>>
>>
>> while in need of the seasonality described in the Lehmann/Kerkhoff
>> Paper "Inflation Derivatives explained" i specialized the
>> multiplicativepriceseasonality class.
>>
>>
>> When overwriting the seasonal correction and the seasonalityFactor
>> Methods i found that the seasonal factor obtained from
>> seasonalityFactor() was not reproduced when i calculated the ratio of
>> the adjusted forecasted fixing (obtained by calling
>> setSeasonality("myseasonality") devided by the unadjusted value
>> (obtained with setSeasonality() thus removing seasonality).
>>
>>
>> But this is a basic requirement. I was able to track this down to a
>> (seemingly) mismatch in the call to the index forecast method. Which
>> is in intlationindex.cpp at line 186 (QL1.5). And the call to the
>> seasonalCorrction() at inflationtermstructure.cpp at line 173. They
>> use a different base for the zero rate sometimes. In my view it should
>> never differ.
>>
>>
>> So the quotient of adjusted index forecast/unadjusted index forecast
>> is no longer what it should be.
>>
>> To make a long story short i would suggest either coying the behavior
>> in the forecast so to always pass the same baseDate to the seasonality
>> correction as the one used in forecasting the index.
>>
>>
>> Or, if we keep the call to seasoaalityCorretion() as it is, that is we
>> use a default, it seems to me a better default would be the first day
>> of the inflation reference month. That would at least fit well in case
>> of an uninterpolated HICP Index and an application of the kerhoff
>> paper seasonality.
>>
>>
>> Any Suggestions?
>>
>>
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