Re: Valuing CPI Bond at real yield curve

Posted by Charles Allderman on Dec 24, 2015; 5:57am
URL: http://quantlib.414.s1.nabble.com/Valuing-CPI-Bond-at-real-yield-curve-tp15354p17207.html

Hi Francois

I got official version working thanks to John Orford on this forum.

The issue it seems was that the inflationIndex object needed one date instead of multiple index points. My assumption was it would pull out the latest valid point.

The way the pricer works is that the real coupons are increased by the inflation rate curve term structure, zciisData. The result therefore becomes a nominal future cash flow. To price then the bondpricer simply discounts these by the nominal term structure. I added some additional code to print the determined cash flows and the "growth factor" and then the discount rate.

Doing it this way I think is fine for my purposes at present.

Thanks
Charles