yield term structure in inflation term structure

[mudcrab]

Hello List,

I was wondering -- why does the yield term structure (or at least a handle
to it) needs to be passed to the inflation term structure?  Conceptually,
I cannot understand why it need be so (particularly for a
ZeroInflationcCurve) and I couldn't see from the code exactly where it was
being used.

Can anyone provide any insight?

Thanks!


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[Chris Kenyon-2]

Hi [hidden email],

the reference date for the yield term structure is used in various places when doing lag calculations, see e.g. InterpolatedXXXInflationCurve.hpp, where XXX=YoY or Zero.

Best,
Chris
-------------------------------------------------------------------------------------------------------
Hello List,

I was wondering -- why does the yield term structure (or at least a handle
to it) needs to be passed to the inflation term structure?  Conceptually,
I cannot understand why it need be so (particularly for a
ZeroInflationcCurve) and I couldn't see from the code exactly where it was
being used.

Can anyone provide any insight?

Thanks!
-------------------------------------------------------------------------------------------------------

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[mudcrab]

Thanks Chris, I saw that also -- but that's it, right?  No other data
members/methods of the Yield Term structure are relevant, it seems.

> Hi [hidden email],
>
> the reference date for the yield term structure is used in various places
> when doing lag calculations, see e.g. InterpolatedXXXInflationCurve.hpp,
> where XXX=YoY or Zero.
>
> Best,
> Chris
> -------------------------------------------------------------------------------------------------------
> Hello List,
>
> I was wondering -- why does the yield term structure (or at
> least a handle
> to it) needs to be passed to the inflation term structure?
> Conceptually,
> I cannot understand why it need be so (particularly for
> a
> ZeroInflationcCurve) and I couldn't see from the code exactly where it
> was
> being used.
>
> Can anyone provide any insight?
>
> Thanks!
> -------------------------------------------------------------------------------------------------------
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

... [show rest of quote]

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[Luigi Ballabio]

On Thu, 2010-05-20 at 06:08 -0700, [hidden email] wrote:
> Thanks Chris, I saw that also -- but that's it, right?  No other data
> members/methods of the Yield Term structure are relevant, it seems.

Yes, at least for the basic zero-inflation curve. For bootstrapped
curves, it's used to recalculate the market rates, though---obviously
for the year-on-year, but unfortunately also the zero, since the
implementation of the boostrap helper solves for the inflation-swap NPV,
and thus discounts the two payments.  In those cases, the discount curve
might have been stored in the helpers instead, and the inflation curve
would just have stored its own reference date; that's what the
default-probability curves do.

Luigi


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