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Dear all,
I am working on the paper "Everything you always wanted to know about multiple interest rate curve bootstapping but were afraid to ask" by Ametrano and Bianchetti.
Everything is working nicely, apart from a small issue that a little bit is puzzling me.
When I bootstrap the Euribor 1M curve from the table in figure 27 (quotes from 13/11/2012 to 13/12/2072), I use beforehand the bootstrapping of the Eonia curve following the table in figure 25 (with quotes from 11/12/2012 to 15/12/2042).
I am able to obtain the Eonia FRA curve as fig. 26 and even extrapolate up to 2072.
BUT
When I bootstrap the second curve, Euribor 1M, it seems that I need to pass ONLY those quotes which are before the 15/12/2042 (the last quoted value of the Eonia curve).
IF I INTRODUCE quoted pillars for the second curve after the maxDate() of the first TermStructure, the iterative boostrapper is not happy and throws me an error that the maturity of my pillar "is past max curve time".
I even check Euribor1MTermStructure->maxDate() and indeed is set to 15/12/2042 (30 years)
Am I missing something important? Why I cannot bootstrap the second curve out of the max period quoted for the Eonia and extrapolate consequently the Eonia this way?
Maybe I could find some values for the eonia curve to fill the gap 30 years -> 60 years, but does exist a more flexible and robust solution?
Any help is very welcomed.
Cheers.
Stefano
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