Inflation curve with mixed ZC & YoY segments

[oszette]

Hi!

We have a use case where we need to build a zero‑inflation curve that mixes YoY (in the short end) and ZC benchmarks. ORE v14 was a great step forward since it now supports multiple segments for inflation curves, but there are still some gaps to be filled in order for this to work.

I’d be happy to discuss this and share more details about what we are looking for.

//Oskar

[pcaspers]

Hi Oskar, this is very interesting and if you could share a concrete case that you would be interested in, that would be great. Also because we started discussing internally whether the "yoy" curve is worth maintaining at all, or whether everything should be a "zc" curve and yoy is derived from that, adding a model-dependent convexity adjustment. Sorry for the delayed response. Best, Peter