Thanks.On Wed, Jul 8, 2015 at 9:30 PM BL BL <[hidden email]> wrote:Berndi created the patch against a 1.6 tar ball.Hi Luigi,the patch file is attached.Please let me know if you have any trouble applying it.Cheers,2015-07-07 14:00 GMT+02:00 BL BL <[hidden email]>:Hi,
thanks for your answer.
I will prepare a patch.
For the moment i applied the change as a workaround in a new
seasonality class. I did this to minimize changes to other parts of
QL. I wanted to discuss it further.
But the targeted change will be clear from the modification of the
passed day in the derived class.
the change worked for me. it hit the seasonality as expected.
Bernd
2015-07-06 10:15 GMT+02:00, Luigi Ballabio <[hidden email]>:
> 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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