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Re: Bond Cash flow dates

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sumanta

Re: Bond Cash flow dates

Hello Ballabio,

Thanks for the help.

Regards,

Sumanta

On Mon, Apr 8, 2013 at 12:39 PM, Ballabio Gerardo-4 [via QuantLib] <[hidden email]> wrote:

I suppose the problem is that in order to have quoted rates of 10% at 20 days and 3% at 25 days, the yield curve must be strongly negative between 20 and 25 days. From a quick back-of-the-envelope calculation I’d estimate it at -25%. That’s an unreasonable value and I wonder whether QuantLib should actually be required to deal with such values.

Indeed you don’t have this problem if the 10% quote is the last one.

Gerardo

Da: sumanta [mailto:[hidden email]]
Inviato: giovedì 4 aprile 2013 11.49

A: [hidden email]

Oggetto: Re: [Quantlib-users] Bond Cash flow dates

Hello Luigi,

It says the "1st iteration: could not bootstrap ". The quantlib curve is unable to interpolate these kind of data.

How do you think these should be handled or fixed? Also I would like to inform you that if the wrong data / big jump is at the last quote, the quantlib is able to interpolate properly.

Regards,

Sumanta

On Thu, Apr 4, 2013 at 2:59 PM, Luigi Ballabio [via QuantLib] <[hidden email]> wrote:

Catch the exception as I suggested in my previous post and you'll see
the cause of the error.

On Wed, Apr 3, 2013 at 1:26 PM, sumanta <[hidden email]> wrote:

> Hello Luigi,
>
> What I did was I gave a set of quotes to create a YC. The sample quotes are
> given below.
>
> 1 day, 3%
> 3 day , 3%
> 8 day, 3%
> 20 day , 3%
> 25 day, 3%
> 30 day , 3%
> 40 day, 3%
> 45 day , 3%
> This worked fine.
>
> Now I changed it to
> 1 day, 3%
> 3 day , 3%
> 8 day, 3%
> 20 day , 10%
> 25 day, 3%
> 30 day , 3%
> 40 day, 3%
> 45 day , 3%
>
> This cause the crash.
>
> Regards,
> Sumanta
>
>

> On Wed, Apr 3, 2013 at 3:12 PM, Luigi Ballabio [via QuantLib] <[hidden

> email]> wrote:
>>
>> Hi,
>> I'm not sure what the context was here. Anyway, it's only a crash
>> if you don't catch exceptions. If you surround the yield-curve
>> construction with a try/catch clause, you can get hold of the
>> exception that was raised and find the reason for the failure.
>> Something like the following will do:
>>
>> try {
>> // your code here
>> } catch (std::exception& e) {
>> std::cout << e.what() << std::endl;
>> }
>>
>> Luigi
>>
>>
>> On Tue, Apr 2, 2013 at 3:47 PM, sumanta <[hidden email]> wrote:
>>
>> > Hello,
>> >
>> > You were right. I passed some wrong parameters due to which the yc was
>> > not
>> > formed properly. I have fixed it and now it is working fine. Thanks for
>> > the
>> > help.
>> >
>> > However, there is one more issue. I asked one of my college to do some
>> > negetive testing on my implementation. What he did was to give some
>> > sharp
>> > jumps to the input points. This caused a crashed in the YC. I agree
>> > that
>> > the sharp jumps that he gave was no logical. How can you suggest why the
>> > yc
>> > crashed? And is it the responsibility of the user to check the validity
>> > of
>> > the input points before passing it for yc construction.
>> >
>> >
>> >
>> > --
>> > View this message in context:
>> > http://quantlib.10058.n7.nabble.com/Yc-Issue-in-Ql-tp14172p14179.html

>> > Sent from the quantlib-users mailing list archive at Nabble.com.

>> >
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> ________________________________

> View this message in context: Re: Bond Cash flow dates
>

> Sent from the quantlib-users mailing list archive at Nabble.com.

>
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