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Trouble with YieldTermStructure

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Cota, Luis

Trouble with YieldTermStructure

I’m attempting to bootstrap a term structure using the qlPiecewiseYieldCurve function in QuantlibXL. I keep getting errors such as this one:

** qlYieldTSForwardRate - 1st iteration: failed at 7th alive instrument, pillar June 15th, 2017, maturity June 15th, 2017, reference date March 2nd, 2017: root not bracketed: f[0.961927,1.03397] -> [1.252676e+02,9.693099e+01] **

In this particular case the date period corresponds to the first futures instrument being used, which is EDH7. The other parameters as set are the following:

Max Futures 3

Fut Roll Days 3

DepoPriority AllDepos

Min Distance 3

iborIndex usd_3m_libor#0000

Error

ObjectID usd_3m_libor

FamilyName USD_Libor

Tenor 3M

FixingDays 2

Currency USD

Calendar UnitedStates::GovernmentBond

BDayConvention MF

EndOfMonth TRUE

DayCounter ACT/360

FwdCurve

Permanent TRUE

Trigger

Overwrite

Any help is very much appreciated.

-LC

IMPORTANT: The information contained in this email and/or its attachments is confidential. If you are not the intended recipient, please notify the sender immediately by reply and immediately delete this message and all its attachments. Any review, use, reproduction, disclosure or dissemination of this message or any attachment by an unintended recipient is strictly prohibited. Neither this message nor any attachment is intended as or should be construed as an offer, solicitation or recommendation to buy or sell any security or other financial instrument. Neither the sender, his or her employer nor any of their respective affiliates makes any warranties as to the completeness or accuracy of any of the information contained herein or that this message or any of its attachments is free of viruses.

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Luigi Ballabio

Re: Trouble with YieldTermStructure

What value are you using for the futures quote, and how are you instantiating the corresponding helper and the curve?

Luigi

On Tue, Feb 28, 2017 at 3:24 PM Cota, Luis <[hidden email]> wrote:

I’m attempting to bootstrap a term structure using the qlPiecewiseYieldCurve function in QuantlibXL. I keep getting errors such as this one:

** qlYieldTSForwardRate - 1st iteration: failed at 7th alive instrument, pillar June 15th, 2017, maturity June 15th, 2017, reference date March 2nd, 2017: root not bracketed: f[0.961927,1.03397] -> [1.252676e+02,9.693099e+01] **

In this particular case the date period corresponds to the first futures instrument being used, which is EDH7. The other parameters as set are the following:

Max Futures      3

Fut Roll Days      3

DepoPriority      AllDepos

Min Distance      3

iborIndex                            usd_3m_libor#0000

Error

ObjectID                              usd_3m_libor

FamilyName                       USD_Libor

Tenor                                    3M

FixingDays                           2

Currency                              USD

Calendar                              UnitedStates::GovernmentBond

BDayConvention              MF

EndOfMonth                     TRUE

DayCounter                        ACT/360

FwdCurve

Permanent                         TRUE

Trigger

Overwrite

Any help is very much appreciated.

-LC

IMPORTANT: The information contained in this email and/or its attachments is confidential. If you are not the intended recipient, please notify the sender immediately by reply and immediately delete this message and all its attachments. Any review, use, reproduction, disclosure or dissemination of this message or any attachment by an unintended recipient is strictly prohibited. Neither this message nor any attachment is intended as or should be construed as an offer, solicitation or recommendation to buy or sell any security or other financial instrument. Neither the sender, his or her employer nor any of their respective affiliates makes any warranties as to the completeness or accuracy of any of the information contained herein or that this message or any of its attachments is free of viruses.

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Cota, Luis

Re: Trouble with YieldTermStructure

Apologies I am just seeing this now. I can send along a sample spreadsheet if that would work, or a text file with the inputs.

From: Luigi Ballabio [mailto:[hidden email]]
Sent: Thursday, April 06, 2017 4:24 AM
To: Cota, Luis <[hidden email]>; [hidden email]
Subject: Re: [Quantlib-users] Trouble with YieldTermStructure

What value are you using for the futures quote, and how are you instantiating the corresponding helper and the curve?

Luigi

On Tue, Feb 28, 2017 at 3:24 PM Cota, Luis <[hidden email]> wrote:

I’m attempting to bootstrap a term structure using the qlPiecewiseYieldCurve function in QuantlibXL. I keep getting errors such as this one:

** qlYieldTSForwardRate - 1st iteration: failed at 7th alive instrument, pillar June 15th, 2017, maturity June 15th, 2017, reference date March 2nd, 2017: root not bracketed: f[0.961927,1.03397] -> [1.252676e+02,9.693099e+01] **

In this particular case the date period corresponds to the first futures instrument being used, which is EDH7. The other parameters as set are the following:

Max Futures      3

Fut Roll Days      3

DepoPriority      AllDepos

Min Distance      3

iborIndex                            usd_3m_libor#0000

Error

ObjectID                              usd_3m_libor

FamilyName                       USD_Libor

Tenor                                    3M

FixingDays                           2

Currency                              USD

Calendar                              UnitedStates::GovernmentBond

BDayConvention              MF

EndOfMonth                     TRUE

DayCounter                        ACT/360

FwdCurve

Permanent                         TRUE

Trigger

Overwrite

Any help is very much appreciated.

-LC

IMPORTANT: The information contained in this email and/or its attachments is confidential. If you are not the intended recipient, please notify the sender immediately by reply and immediately delete this message and all its attachments. Any review, use, reproduction, disclosure or dissemination of this message or any attachment by an unintended recipient is strictly prohibited. Neither this message nor any attachment is intended as or should be construed as an offer, solicitation or recommendation to buy or sell any security or other financial instrument. Neither the sender, his or her employer nor any of their respective affiliates makes any warranties as to the completeness or accuracy of any of the information contained herein or that this message or any of its attachments is free of viruses.

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org! http://sdm.link/slashdot_______________________________________________
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IMPORTANT: The information contained in this email and/or its attachments is confidential. If you are not the intended recipient, please notify the sender immediately by reply and immediately delete this message and all its attachments. Any review, use, reproduction, disclosure or dissemination of this message or any attachment by an unintended recipient is strictly prohibited. Neither this message nor any attachment is intended as or should be construed as an offer, solicitation or recommendation to buy or sell any security or other financial instrument. Neither the sender, his or her employer nor any of their respective affiliates makes any warranties as to the completeness or accuracy of any of the information contained herein or that this message or any of its attachments is free of viruses.

------------------------------------------------------------------------------
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Luigi Ballabio

Re: Trouble with YieldTermStructure

Yes, please do.

On Wed, May 3, 2017, 15:58 Cota, Luis <[hidden email]> wrote:

Apologies I am just seeing this now. I can send along a sample spreadsheet if that would work, or a text file with the inputs.

From: Luigi Ballabio [mailto:[hidden email]]
Sent: Thursday, April 06, 2017 4:24 AM
To: Cota, Luis <[hidden email]>; [hidden email]

Subject: Re: [Quantlib-users] Trouble with YieldTermStructure

What value are you using for the futures quote, and how are you instantiating the corresponding helper and the curve?

Luigi

On Tue, Feb 28, 2017 at 3:24 PM Cota, Luis <[hidden email]> wrote:

I’m attempting to bootstrap a term structure using the qlPiecewiseYieldCurve function in QuantlibXL. I keep getting errors such as this one:

** qlYieldTSForwardRate - 1st iteration: failed at 7th alive instrument, pillar June 15th, 2017, maturity June 15th, 2017, reference date March 2nd, 2017: root not bracketed: f[0.961927,1.03397] -> [1.252676e+02,9.693099e+01] **

In this particular case the date period corresponds to the first futures instrument being used, which is EDH7. The other parameters as set are the following:

Max Futures      3

Fut Roll Days      3

DepoPriority      AllDepos

Min Distance      3

iborIndex                            usd_3m_libor#0000

Error

ObjectID                              usd_3m_libor

FamilyName                       USD_Libor

Tenor                                    3M

FixingDays                           2

Currency                              USD

Calendar                              UnitedStates::GovernmentBond

BDayConvention              MF

EndOfMonth                     TRUE

DayCounter                        ACT/360

FwdCurve

Permanent                         TRUE

Trigger

Overwrite

Any help is very much appreciated.

-LC

IMPORTANT: The information contained in this email and/or its attachments is confidential. If you are not the intended recipient, please notify the sender immediately by reply and immediately delete this message and all its attachments. Any review, use, reproduction, disclosure or dissemination of this message or any attachment by an unintended recipient is strictly prohibited. Neither this message nor any attachment is intended as or should be construed as an offer, solicitation or recommendation to buy or sell any security or other financial instrument. Neither the sender, his or her employer nor any of their respective affiliates makes any warranties as to the completeness or accuracy of any of the information contained herein or that this message or any of its attachments is free of viruses.

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org! http://sdm.link/slashdot_______________________________________________
QuantLib-users mailing list
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IMPORTANT: The information contained in this email and/or its attachments is confidential. If you are not the intended recipient, please notify the sender immediately by reply and immediately delete this message and all its attachments. Any review, use, reproduction, disclosure or dissemination of this message or any attachment by an unintended recipient is strictly prohibited. Neither this message nor any attachment is intended as or should be construed as an offer, solicitation or recommendation to buy or sell any security or other financial instrument. Neither the sender, his or her employer nor any of their respective affiliates makes any warranties as to the completeness or accuracy of any of the information contained herein or that this message or any of its attachments is free of viruses.