Correct Zero Rate


Function Correct Zero Rate within
Seasonalityreturns the corrected zero rate r' for a given zero rate r, date t and an inflation curve.
If the curve has
Interp Index = FALSE, the date t is shifted to the begining of the month where the index is defined.
In the case of
Multiplicative the calculation formula is:
r' = (r + 1)f - 1
where
f = [F(t)/F(t₀)]ᵟ
where
F(t) is the seasonality factor as of time t as returned by the function
Factor
and δ = 1/(t-t₀)
where
t-t₀ is the year fraction between the two indicated dates according to the daycount of the supplied inflation curve.

In the case of
Kerkhof the calculation formula is modified by setting f as follows:
f = [F(t)]ᵟ