Coupon paying the performance of a CPI (zero inflation) index
The performance is relative to the index value on the base date.
The other inflation value is taken from the refPeriodEnd date
with observation lag, so any roll/calendar etc. will be built
in by the caller. By default this is done in the
InflationCoupon which uses ModifiedPreceding with fixing days
assumed positive meaning earlier, i.e. always stay in same
month (relative to referencePeriodEnd).
This is more sophisticated than an %IndexedCashFlow because it
does date calculations itself.
todo we do not do any convexity adjustment for lags different
to the natural ZCIIS lag that was used to create the
forward inflation curve.
Coupon paying the performance of a CPI (zero inflation) index
The performance is relative to the index value on the base date.
The other inflation value is taken from the refPeriodEnd date with observation lag, so any roll/calendar etc. will be built in by the caller. By default this is done in the InflationCoupon which uses ModifiedPreceding with fixing days assumed positive meaning earlier, i.e. always stay in same month (relative to referencePeriodEnd).
This is more sophisticated than an %IndexedCashFlow because it does date calculations itself.
todo we do not do any convexity adjustment for lags different to the natural ZCIIS lag that was used to create the forward inflation curve.