a question on SwapRateHelper

[zlee]

30 year swap using SwapRateHelper for bootstrap. when valuation date is 3/29/2010,  I got an error "maturity April 2nd 2040, reference date March 29th, 2010: time (30.4528) is past max curve time (30.45 using Act/360 day count)". How to fix this problem?  Should the monthEnd flag have to be turned on?

Thanks

 

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[Guowen Han]

Hi Zhifeng,

Not sure your exactly problem, you may try the enableExtrapolation() function.

Zhifeng Li <[hidden email]>

03/30/2010 10:19 AM

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Subject	[Quantlib-users] a question on SwapRateHelper

30 year swap using SwapRateHelper for bootstrap. when valuation date is 3/29/2010,  I got an error "maturity April 2nd 2040, reference date March 29th, 2010: time (30.4528) is past max curve time (30.45 using Act/360 day count)". How to fix this problem?  Should the monthEnd flag have to be turned on?
Thanks
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[Alessandro Gualdi]

Hi Zhifeng,
I think the answer to your question is in file ratehelpers.cpp of QuantLib project in void "SwapRateHelper::initializeDates".
It sounds strange that maturity date of 30 year swap starting 3/29/2010 ends April 2nd 2040.
Perhaps you have to review your "qlswapratehelper" settings.

zlee wrote

30 year swap using SwapRateHelper for bootstrap. when valuation date is
3/29/2010,  I got an error "maturity April 2nd 2040, reference date March
29th, 2010: time (30.4528) is past max curve time (30.45 using Act/360 day
count)". How to fix this problem?  Should the monthEnd flag have to be
turned on?
Thanks

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[Luigi Ballabio]

On Tue, 2010-03-30 at 10:19 -0400, Zhifeng Li wrote:
> 30 year swap using SwapRateHelper for bootstrap. when valuation date
> is 3/29/2010,  I got an error "maturity April 2nd 2040, reference date
> March 29th, 2010: time (30.4528) is past max curve time (30.45 using
> Act/360 day count)". How to fix this problem?

It's probably some date-adjustment issue.  May you post some code to
reproduce the problem?

Luigi



--

There is no likelihood man can ever tap the power of the atom.
-- Robert Millikan, Nobel Prize in Physics, 1923



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[zlee]

using enableExtrapolation solved the problem. Thanks.

On Wed, Mar 31, 2010 at 7:52 AM, Luigi Ballabio <[hidden email]> wrote:

On Tue, 2010-03-30 at 10:19 -0400, Zhifeng Li wrote:
> 30 year swap using SwapRateHelper for bootstrap. when valuation date
> is 3/29/2010,  I got an error "maturity April 2nd 2040, reference date
> March 29th, 2010: time (30.4528) is past max curve time (30.45 using
> Act/360 day count)". How to fix this problem?

It's probably some date-adjustment issue.  May you post some code to
reproduce the problem?

Luigi



--

There is no likelihood man can ever tap the power of the atom.
-- Robert Millikan, Nobel Prize in Physics, 1923

------------------------------------------------------------------------------
Download Intel&#174; Parallel Studio Eval
Try the new software tools for yourself. Speed compiling, find bugs
proactively, and fine-tune applications for parallel performance.
See why Intel Parallel Studio got high marks during beta.
http://p.sf.net/sfu/intel-sw-dev
_______________________________________________
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