Snap seasonality correction for zero rates to first of month

lballabio · Nov 5, 2021 · 7176bae · 7176bae
1 parent 0d9312c
commit 7176bae
Showing 1 changed file with 1 addition and 2 deletions.
diff --git a/ql/termstructures/inflation/seasonality.cpp b/ql/termstructures/inflation/seasonality.cpp
@@ -124,8 +124,7 @@ namespace QuantLib {
         // curveBaseDate and effective fixing date. This means that we should retrieve
         // the input seasonality adjustments when we look at I_{SA}(t) / I_{NSA}(t).
         Date curveBaseDate = iTS.baseDate();
-        Date effectiveFixingDate = iTS.indexIsInterpolated() ? d : 
-            inflationPeriod(d, iTS.frequency()).first;
+        Date effectiveFixingDate = inflationPeriod(d, iTS.frequency()).first;
 
         return seasonalityCorrection(r, effectiveFixingDate, iTS.dayCounter(), curveBaseDate, true);
     }