Setting CPI Bond Inflation Curves and Historical Fixings in QuantLib

# building a CPIBond with zero-inflation


# building a CPIBond with zero-inflation












I am trying to build a CPIBond object that has historical CPI fixings but assumes zero inflation from the current date onwards. My code is below and I am getting the following error:

```
from QuantLib import *

# make cpi index
ref_date = Date(1, 8, 2025)
start_date = Date.todaysDate()
end_date = start_date + Period(100, Years)

dates = [start_date, end_date]
rates=[0.0,0.0]
zero_inflation = ZeroInflationCurve(ref_date, dates, rates, Monthly, ActualActual(ActualActual.ISDA))
zero_inflation_ts_handle = ZeroInflationTermStructureHandle(zero_inflation)
cpi_index = USCPI(zero_inflation_ts_handle)

# add historical CPI fixings
cpi_vals = [315.664, 315.493, 315.605, 317.671, 319.082, 319.799, 320.795]
for i in range(1,8):
   cpi_index.addFixing(Date(1,i,2025), cpi_vals[i-1])
   

issue_date = Date(15, 4, 2025)
maturity_date = Date(15, 4, 2030)
tenor = Period(Semiannual)
calendar = UnitedStates(UnitedStates.NYSE)
business_convention = Following
date_generation = DateGeneration.Backward
month_end = False
schedule = Schedule (issue_date, maturity_date, tenor,
                    calendar, business_convention,
                    business_convention , date_generation,
                    month_end)

coupon_rate = .01625
coupons = [coupon_rate]
settlement_days = 0
face_value = 100
base_cpi = 318.32947

cpi_bond = CPIBond(settlement_days, face_value, False, base_cpi, Period(3, Months), cpi_index,
                  CPI.Linear, schedule, coupons, day_count)

cpi_bond.bondYield(100,ActualActual(ActualActual.ISDA),CompoundedThenSimple,Monthly)
```

## Answer by Luigi Ballabio (score 1, accepted)

https://quant.stackexchange.com/a/83769

I'm seeing a few things to fix in the code.

You're using today as evaluation date, July 11 as I write, and then you're using August 1st 2025 as "ref date". If you're meaning that as the base date for the inflation curve (that is, the date of the last known CPI value) this choice doesn't work, since August 1st is in the future.

Looking at the past CPI fixings for the index, I see you're adding fixings for January to July included. The last one puzzles me a bit. As of July 11th, the fixing for July can't possibly have been published; it will be published at some point in August. As I write this, I don't think the June inflation has been published either. The last fixing available should be the May fixing (that I don't see in your fixings; the last one, 320.795, is the April fixing, published in May). Assuming you also add the May fixing to the code, the base date should be May 1st. If you add the June fixing when it's published in a few days from now, the base date will be June 1st.

Finally, you're creating the inflation curve as

```
zero_inflation = ZeroInflationCurve(
    ref_date, [start_date, end_date], rates, Monthly, day_counter
)
```

or, giving dates different names to make them more clear,

```
zero_inflation = ZeroInflationCurve(
    base_date, [valuation_date, end_date], rates, Monthly,, day_counter
)
```

Instead, it should be

```
zero_inflation = ZeroInflationCurve(
    valuation_date, [base_date, end_date], rates, Monthly,, day_counter
)
```

Once you do these changes, the code works.

Unfortunately, the error message gives no hint that any of the above is going on...