Error when using PiecewiseYieldCurve to Bootstrap curve

[Ramon Lozano]

Hello,

       I am using the PiecewiseYieldCurve class to create a termStructure to bootstrap a yield curve and am getting this error:

1st iteration: failed at 13th instrument, maturity September 13th, 2013, reference
date July 14th, 2011: 2nd leg: Missing Euribor3M Actual/360 fixing for September 9th, 2011

Does anyone have any idea what this means?

thanks


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[Ramon Lozano]

Hi,

     Sorry just to add. The 13th instrument used for the curve is a Swap (SwapRateHelper). Anyway... problem resolved, was a small error.

thanks

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[Ferdinando M. Ametrano-3]

On Sun, Sep 11, 2011 at 10:45 AM, Ramon Lozano <[hidden email]> wrote:
>      Sorry just to add. The 13th instrument used for the curve is a Swap
> (SwapRateHelper). Anyway... problem resolved, was a small error.

glad you solved it, but would be nice for future reference if you
specify what was the error.

My bet: too low rate after high rates, implying negative forward rates

ciao -- Nando

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[Ramon Lozano]

Hello,

    Sorry about that. Anyway the error was an omission on my part. I did not have the following line on my code:

Settings::instance().evaluationDate() = Date(yieldCurve.startDate);

I have another question though.Is the above line really necessary even though i specify the start date when i initialize the PiecewiseYieldCurve class?
(code line below )

discountCurve = boost::shared_ptr<YieldTermStructure>(
        new PiecewiseYieldCurve<Discount,Linear>(
            Date(yieldCurve.startDate),
            instruments,
            termStructureDayCounter,
            tolerance));

thanks
ramon

On Mon, Sep 12, 2011 at 11:55 PM, Ferdinando Ametrano <[hidden email]> wrote:

On Sun, Sep 11, 2011 at 10:45 AM, Ramon Lozano <[hidden email]> wrote:
>      Sorry just to add. The 13th instrument used for the curve is a Swap
> (SwapRateHelper). Anyway... problem resolved, was a small error.

glad you solved it, but would be nice for future reference if you
specify what was the error.

My bet: too low rate after high rates, implying negative forward rates

ciao -- Nando

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[Luigi Ballabio]

Yes, in principle they're two different dates.  The evaluation date is
today's date.  The reference date for the curve is the one to where the
curve discounts, which might be today's date but might also be spot
(today+2) depending on your desk conventions.  

Luigi
 

On Tue, 2011-09-13 at 09:53 +0800, Ramon Lozano wrote:

> Hello,
>
>     Sorry about that. Anyway the error was an omission on my part. I
> did not have the following line on my code:
>
> Settings::instance().evaluationDate() = Date(yieldCurve.startDate);
>
> I have another question though.Is the above line really necessary even
> though i specify the start date when i initialize the
> PiecewiseYieldCurve class?
> (code line below )
>
> discountCurve = boost::shared_ptr<YieldTermStructure>(
>         new PiecewiseYieldCurve<Discount,Linear>(
>             Date(yieldCurve.startDate),
>             instruments,
>             termStructureDayCounter,
>             tolerance));
>
> thanks
> ramon
>
> On Mon, Sep 12, 2011 at 11:55 PM, Ferdinando Ametrano
> <[hidden email]> wrote:
>         On Sun, Sep 11, 2011 at 10:45 AM, Ramon Lozano
>         <[hidden email]> wrote:
>         >      Sorry just to add. The 13th instrument used for the
>         curve is a Swap
>         > (SwapRateHelper). Anyway... problem resolved, was a small
>         error.
>        
>        
>         glad you solved it, but would be nice for future reference if
>         you
>         specify what was the error.
>        
>         My bet: too low rate after high rates, implying negative
>         forward rates
>        
>         ciao -- Nando
>
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