Hi,

I’m trying to develop an inflation swap (with intermediate coupons) where the fixed payments are scaled by a factor (inflation index / base value).

At the moment, I simply cannot understand the way in which inflation curves & inflation indexes work in QuantLib.

I understand that there has to be a distinction between inflation rates based upon year-on-year (either synthetic or derived from an index). However, I don’t understand the date lag mechanism. There are several assumptions in place: for instance, the inflation numbers are assumed to always be published on the 1st of the month. Also, in ZeroInflationIndex::forecastFixing, why is there a difference between the baseDate, the trueBaseDate, and the curve reference date?

Can anyone explain the reasoning behind these dates – also, why does the initial zero rate (the value at the base date) not change during the bootstrapping?

Cheers,

Simon

Simon Ibbotson

Quantitative Analytics

Capital Markets

Straumur