Hi There,
I am hoping that this is a quick question. I am building some OIS discounted
curves. One slight annoyance is if the OIS curve last tenor point is shorted
that the Libor curve, the curve builds, but I get this error when trying to
use the curve.
qlPiecewiseYieldCurveDates - 1st iteration: failed at 21st alive instrument,
pillar May 16th, 2036, maturity May 16th, 2036, reference date May 11th,
2016: 1st leg: time (20.0274) is past max curve time (20.0164)
The issue is that I have a 20y OIS and Libor curves. The OIS instruments in
question has aa 1d settlement, whereas libor has 2d. This means that the
longest libor leg is slightly longer that the longest OIS leg. Is there some
way to tell the curve to extrapolate?
Ben Watson, CEO
Define Analytics
Tel: +61 410 474 984
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