CPI Time Series Interpolation

Posted by Charles Allderman on Feb 08, 2017; 12:08pm
URL: http://quantlib.414.s1.nabble.com/CPI-Time-Series-Interpolation-tp18062.html

Hi

I am digging into the pricing of a CPIBond. I have this index CPI index time series:

DATE            
2016-08-31  123.0
2016-09-30  123.2
2016-10-31  123.8
2016-11-30  124.2
2016-12-31  124.7

If I interpolate for 10 February 2017 I get:
(10.0-1)/28.0*(124.2-123.8)+123.8
>123.92857142857143

Deriving the values as calculated by QuantLib using the last cash flow I get:
principal*baseCPI/notional
>123.92000000000002

So it appears to be rounded down.

The inflation index is simply created by passing in a vector of dates(month-end date plus 1 day) and values.
inflationIndex.addFixings(dte_fixings[:len(fixData)], fixData)

So is there a way to get the full interpolated value?

Thanks
Charles