http://quantlib.414.s1.nabble.com/CPI-Time-Series-Interpolation-tp18062p18075.html
> Hi Francois
>
> I remember the discussion but we did not delve into the interpolation base
> issue then I think. Is the interpolation issue then the only issue? If I
> understand you correctly, I think I like the first method as it allows the
> user the option of passing in an inflation curve and the valuing off nominal
> should he so wish.
>
> Thanks
> Charles
>
> On Thu, Feb 9, 2017 at 2:57 PM, Francois Botha <
[hidden email]> wrote:
>>
>> Hi,
>>
>> Charles, you might remember we had a chat about this about a year back.
>> Sadly, this illustrates my laziness and I have to do some more work on that
>> PR before it is ready for merging.
>>
>> PR50 is necessary if bonds are valued at the real curve, and the inflation
>> curve in the future is assume to be a flat 0. Past inflation fixings (since
>> issue date) allows for the rolling up until effective date. This is the
>> method that BESA prescribes in the ZA inflation linked bond valuation.
>>
>> The alternative way is to value the bond at the nominal curve, but then
>> you have to deduce the inflation curve yourself (difference between nominal
>> and real yield curves) and add the fixings as in the first method.
>>
>> I still wanted to thoroughly investigate whether the 2nd approach isn't a
>> better approach that wouldn't require PR50 before I cleaned up the PR.
>>
>> The above doesn't solve your issue, but I just wanted to explain why PR50
>> is still in limbo.
>>
>>
>>
>> Francois Botha
>>
>> On 9 February 2017 at 13:57, 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
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>>
>>> --
>>> View this message in context:
>>>
http://quantlib.10058.n7.nabble.com/CPI-Time-Series-Interpolation-tp18062.html>>> Sent from the quantlib-users mailing list archive at Nabble.com.
>>>
>>>
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>>
>