Re: CPI Time Series Interpolation

Posted by Peter Caspers-4 on Feb 09, 2017; 10:42am
URL: http://quantlib.414.s1.nabble.com/CPI-Time-Series-Interpolation-tp18062p18067.html

Hi Charles,

I don’t think so, because InflationIndex::addFixing(d,v) writes v to each day of the applicable inflation period (in your case the whole month) containing d.

Kind Regards

Peter

On 09 Feb 2017, at 13:07, Charles Allderman <[hidden email]> wrote:

Hi Peter

Thanks for clearing that up. If I created an interpolated daily series and passed that in would this workaround work?

Thanks

Charles

On Thu, Feb 9, 2017 at 1:57 PM, Peter Caspers <[hidden email]> wrote:

Hi,

it’s not rounding, QuantLib calculates 123.92 = 123.8 + (124.2-123.8) x (10-1) / 30, i.e. takes November instead of February as the basis for the interpolation. This is due to a bug described here

http://quantlib.10058.n7.nabble.com/Interpolated-ZeroInflationIndexes-td15507.html

There is an attempt to solve that, but this is not yet merged

https://github.com/lballabio/QuantLib/pull/50

Looking at that I think we also need to fix the interpolation in CPICoupon, the code for this starts here

https://github.com/lballabio/QuantLib/blob/master/ql/cashflows/cpicoupon.cpp#L88

What do you think, Francois, Luigi?

Kind Regards

Peter

On 08 Feb 2017, at 13:08, Charles Allderman <[hidden email]> wrote:

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











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