QL fitted curve has weird shape when transiotioning from Futures to Swap

[imachabeli]

Picture is better than thousand words so attached is the curve fitted via QL

convex monotone (PiecewiseYieldCurve<ForwardRate ,ConvexMonotone>) vs

bloomberg for the same settle date,  same instruments and  same convexity

adjustments on futures.

 

At 4 year period fitting transition from futures to swap and curve has weird

shape. I tried to add couple of futures closer to 4Y point but that does not

help.

 

Question probably goes to  Luigi, what am I missing , is there extra setting

to preserve the the sign of the second derivative?

 

Thanks

Irakli

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[Luigi Ballabio]

On Apr 8, 2011, at 10:32 PM, Irakli Machabeli wrote:

> Picture is better than thousand words so attached is the curve  
> fitted via QL
> convex monotone (PiecewiseYieldCurve<ForwardRate ,ConvexMonotone>) vs
> bloomberg for the same settle date,  same instruments and  same  
> convexity
> adjustments on futures.
>
> At 4 year period fitting transition from futures to swap and curve  
> has weird
> shape. I tried to add couple of futures closer to 4Y point but that  
> does not
> help.
>
> Question probably goes to  Luigi, what am I missing , is there extra  
> setting
> to preserve the the sign of the second derivative?

... [show rest of quote]

Ferdinando is the curve expert here.  Any suggestions?

Luigi



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