Curve bootstrapping error

[Paolo Tenconi]

Dear Members,
I'm trying to generate an interpolated discount curve from interest rate quotes.
I get the following error messages while using qlPiecewiseYieldCurveDates and qlPiecewiseYieldCurveData functions.

• qlPiecewiseYieldCurveDates - 1st iteration: could not bootstrap the 2nd instrument, maturity May 14th, 2010: Missing no-fix1W Actual/Actual (ISDA) fixing for April 30th, 2010
• qlPiecewiseYieldCurveData - 1st iteration: could not bootstrap the 2nd instrument, maturity May 14th, 2010: Missing no-fix1W Actual/Actual (ISDA) fixing for April 30th, 2010

I'm wondering if I'm doing an error in the construction of the RateHelpers, qlRateHelperSelection or qlPiecewiseYieldCurve objects,  these seem to be constructed with no formal error messages.
Just a remark: I'm using a modified quantlibXL, with the quantlib QL_NEGATIVE_RATES flag enabled to prevent errors due to negative forward rates.
I enclose my excel file, I hope someone could help me to find where I go wrong.
Many thanks for any help
Paolo Tenconi



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[Ferdinando M. Ametrano-3]

Hi Paolo

I quickly checked with an old revision I have handy and everything
works provided that the evaluation date is set equal to May 6th, since
today (May 5th) is holiday according to the Japan calendar

BTW
1) you should trigger object construction to be after evaluation date
setting, otherwise Excel might build your objects and then change the
date, leaving the workbook in an inconsistent state. I suggest to
avoid setting the evaluation date
2) deposit with muturity below 1M should use Following, not Modified Following

ciao -- Nando

On Wed, May 5, 2010 at 9:43 AM, Paolo Tenconi <[hidden email]> wrote:

> Dear Members,
> I'm trying to generate an interpolated discount curve from interest rate
> quotes.
> I get the following error messages while using qlPiecewiseYieldCurveDates
> and qlPiecewiseYieldCurveData functions.
>
> qlPiecewiseYieldCurveDates - 1st iteration: could not bootstrap the 2nd
> instrument, maturity May 14th, 2010: Missing no-fix1W Actual/Actual (ISDA)
> fixing for April 30th, 2010
> qlPiecewiseYieldCurveData - 1st iteration: could not bootstrap the 2nd
> instrument, maturity May 14th, 2010: Missing no-fix1W Actual/Actual (ISDA)
> fixing for April 30th, 2010
>
> I'm wondering if I'm doing an error in the construction of the RateHelpers,
> qlRateHelperSelection or qlPiecewiseYieldCurve objects,  these seem to be
> constructed with no formal error messages.
> Just a remark: I'm using a modified quantlibXL, with the quantlib
> QL_NEGATIVE_RATES flag enabled to prevent errors due to negative forward
> rates.
> I enclose my excel file, I hope someone could help me to find where I go
> wrong.
> Many thanks for any help
> Paolo Tenconi
>
>
>
> ------------------------------------------------------------------------------
>
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>

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