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?
Ferdinando is the curve expert here. Any suggestions?
Luigi
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