Hi Silvia,
I took a look at your workbook.
First of all, which version of QL you are using? (you can open a QL Excel session and use the function “ohversion()” with no parameters).
I noticed that in the sheet “Step5_Eur6M_Config_Swap” you are not using the discounting curve in “qlSwapRateHelper2()”. Here you need to add the discounting curve: i.e. the obj in cell Step6_Bootstrap!F20. (in column U of these sheet you select the correct discount curve, but then it is not used in the swap Rate Helpers)
In these way the Euribor6M curve is calculated (I can see the discount factor in sheet “Step7_Eur6M_Bootstrap”).
What error do you have in sheet “Step7_Eur6M_Bootstrap” cell F21?
Regards,
Paolo
-----Original Message-----
From: Silvia Buttarazzi [mailto:
[hidden email]]
Sent: 17 August 2015 13:07
To:
[hidden email]Subject: [Quantlib-users] dual bootstrapping
Hi, I'm new to QuantLib. I'd like to use quantlib add-ins in the excel spreadsheet.
I would like to bootstrap the swap vs 6 months curve assuming that the Eonia Curve is the discounting curve.
Firstly, I create the Eonia Curve.
Then, I set the EONIA Curve in the Discount Curve of the Swap Rate Helper when I built the SWAP vs 6M Curve, but it doesn't seem to work.
Please find enclosed my excel file. I would reaaly appreciate if someone could help me to fix this spreadsheet.
Thank you very much in advance.
EoniaBootstrapQuantLib_v3.xlsx
<
http://quantlib.10058.n7.nabble.com/file/n16789/EoniaBootstrapQuantLib_v3.xlsx>--
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