Curve bootstrapping error

[jjubak]

Hi QuantLib,

This is a followup to my recent posting on the same topic. I was earlier getting an error while bootstrapping a swap curve from deposits, futures, and swaps. The deposits, futures, and swaps had overlaps between them. After digging into the code some more, I removed some input deposits and futures, so there was no longer any overlap between deposits-futures and futures-swaps, and I am able to generate the curve now.

My question is -- is there any known QuantLib issue with curve generation in case of overlapping instruments? I also looked up QuantLib Example Documentation (P.1186) and it seems to bootstrap the depo-futures-swap curve from non-overlapping instruments.

Thanks

[Luigi Ballabio]

On Fri, 2008-12-12 at 13:13 -0800, jjubak wrote:
> This is a followup to my recent posting on the same topic. I was earlier
> getting an error while bootstrapping a swap curve from deposits, futures,
> and swaps. The deposits, futures, and swaps had overlaps between them. [...]
>
> My question is -- is there any known QuantLib issue with curve generation in
> case of overlapping instruments?

Not necessarily--you might be able to bootstrap from overlapping
instruments. But if the corresponding nodes are close, it might be
difficult for the curve to match all of them...

Luigi


--

What is written without effort is, in general, read without pleasure.
-- Samuel Johnson



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