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error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

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hudsoncity

error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

Hi, I am new to QuantLib. I am trying to build Treasury Curve using piecewiseYieldCurve by using T-Bills, T-Notes, and T-Bond. I am pretty much copied the code from bonds.cpp. It doesn't give the error with T-Bills plus 2 yr and 3yr term T-Notes. But once adding longer term T-Note or T-Bond, it gives error at line 202 of solver1d.hpp:
QL_REQUIRE(fxMin_*fxMax_ < 0.0,
"root not bracketed: f["
<< xMin_ << "," << xMax_ << "] -> ["
<< std::scientific
<< fxMin_ << "," << fxMax_ << "]");

Here is the code:
int main(int, char* []) {
try{
boost::timer timer;
std::cout << std::endl;

Calendar calendar = UnitedStates(UnitedStates::GovernmentBond);;
Date settlementDate(6, April, 2013);
cout << "Is BD:" << calendar.isBusinessDay( settlementDate ) << std::endl ;
cout << "Is Holiday :" << calendar.isHoliday( settlementDate ) << std::endl ;
cout << "Is Weekend :" << calendar.isWeekend( Saturday ) << std::endl;
cout << "Is Last BD :" << calendar.isEndOfMonth( settlementDate) << std::endl;

settlementDate = calendar.adjust(settlementDate);

Integer fixingDays = 1;
Natural settlementDays = 1;

Date todaysDate = calendar.advance(settlementDate, -fixingDays, Days);
// nothing to do with Date::todaysDate
Settings::instance().evaluationDate() = todaysDate;

std::cout << "Today: " << todaysDate.weekday()
<< ", " << todaysDate << std::endl;

std::cout << "Settlement date: " << settlementDate.weekday()
<< ", " << settlementDate << std::endl;

// ZC rates for the short end
// use the quote in wsj: http://online.wsj.com/mdc/public/page/2_3020-treasury.html#treasuryB
Rate TB4WKsQuote=0.045;
Rate TB13WKsQuote=0.065;
Rate TB26WKSQuote=0.095;
Rate TB52WKSQuote=0.130;

//pointer to the quote
boost::shared_ptr<Quote> TB4WKsRate(new SimpleQuote(TB4WKsQuote));
boost::shared_ptr<Quote> TB13WKsRate(new SimpleQuote(TB13WKsQuote));
boost::shared_ptr<Quote> TB26WKSRate(new SimpleQuote(TB26WKSQuote));
boost::shared_ptr<Quote> TB52WKSRate(new SimpleQuote(TB52WKSQuote));

//Treasury securities use actual/actual day count convention
DayCounter zcBondsDayCounter = ActualActual();
Date d1 (1,Oct ,2012);
Date d2=d1 +2* Months ;
std :: cout << " Days Between d1/ d2:" <<zcBondsDayCounter.dayCount (d1 ,d2) << std :: endl ;
std :: cout << " Year Fraction d1 /d2:" <<zcBondsDayCounter.yearFraction (d1 ,d2) << std :: endl ;

//pointer to the instrument
boost::shared_ptr<RateHelper> zc4WK(new DepositRateHelper(
Handle<Quote>(TB4WKsRate),
4*Weeks, fixingDays,
calendar, ModifiedFollowing,
true, zcBondsDayCounter));
boost::shared_ptr<RateHelper> zc13WK(new DepositRateHelper(
Handle<Quote>(TB13WKsRate),
13*Weeks, fixingDays,
calendar, ModifiedFollowing,
true, zcBondsDayCounter));
boost::shared_ptr<RateHelper> zc26WK(new DepositRateHelper(
Handle<Quote>(TB26WKSRate),
26*Weeks, fixingDays,
calendar, ModifiedFollowing,
true, zcBondsDayCounter));
boost::shared_ptr<RateHelper> zc52WK(new DepositRateHelper(
Handle<Quote>(TB52WKSRate),
52*Weeks, fixingDays,
calendar, ModifiedFollowing,
true, zcBondsDayCounter));

//set up the on the run bond
Real redemption = 100.0;

const Size numberOfBonds = 6;

Date issueDates[] = {
Date (1, April, 2013),
Date (15, March, 2013),
Date (1, April, 2013),
Date (1, April, 2013),
Date (15, March, 2013),
Date (15, March, 2013)
};

Date maturities[] = {
Date (31, March, 2015),
Date (15, March, 2016),
Date (31, March, 2018),
Date (31, March, 2020),
Date (15, February, 2023),
Date (15, February, 2043)
};

Real couponRates[] = {
0.25,
0.375,
0.750,
1.125 ,
2.0,
3.125
};

Real marketQuotes[] = {
100.0391 ,
100.1484 ,
100.3594 ,
100.1094 ,
102.7422 ,
105.2422
};

//pointer to the quote
std::vector< boost::shared_ptr<SimpleQuote> > quote;
for (Size i=0; i<numberOfBonds; i++) {
boost::shared_ptr<SimpleQuote> cp(new SimpleQuote(marketQuotes[i]));
quote.push_back(cp);
}

//pointer to the pointer of the quote
RelinkableHandle<Quote> quoteHandle[numberOfBonds];
for (Size i=0; i<numberOfBonds; i++) {
quoteHandle[i].linkTo(quote[i]);
}

// Definition of the rate helpers
std::vector<boost::shared_ptr<FixedRateBondHelper> > bondsHelpers;

//pointer to the bond instruments
for (Size i=0; i<numberOfBonds; i++) {

Schedule schedule(issueDates[i], maturities[i], Period(Semiannual), UnitedStates(UnitedStates::GovernmentBond),
Unadjusted, Unadjusted, DateGeneration::Backward, false);

boost::shared_ptr<FixedRateBondHelper> bondHelper(new FixedRateBondHelper(
quoteHandle[i],
settlementDays,
100.0,
schedule,
std::vector<Rate>(1,couponRates[i]),
ActualActual(ActualActual::Bond),
Unadjusted,
redemption,
issueDates[i]));

bondsHelpers.push_back(bondHelper);
}

/*********************
** CURVE BUILDING **
*********************/
// ActualActual::ISDA ensures that 30 years is 30.0
DayCounter termStructureDayCounter = ActualActual(ActualActual::ISDA);

double tolerance = 1.0e-15;

// A depo-bond curve
std::vector<boost::shared_ptr<RateHelper> > bondInstruments; //covers all types of bond

//add T-bills to the bondInstruments vector for 4-52 weeks
bondInstruments.push_back(zc4WK);
bondInstruments.push_back(zc13WK);
bondInstruments.push_back(zc26WK);
bondInstruments.push_back(zc52WK);

bondInstruments.push_back(bondsHelpers[0]); //2 yr T-Note
bondInstruments.push_back(bondsHelpers[1]); //3 yr T-Note
bondInstruments.push_back(bondsHelpers[2]); //5 yr T-Note, resulting error

//build the yieldtermstructure
boost::shared_ptr<YieldTermStructure> bondDiscountingTermStructure(
new PiecewiseYieldCurve<Discount,LogLinear>(
settlementDate, bondInstruments,
termStructureDayCounter,
tolerance));

----------------
I saw in one thread that the similar problem solved by adding line yieldtermstructure->enableExtrapolation();
I tried but it causes the error at line 88 of errors.cpp:
throw std::runtime_error(format(file, line, function,
"Boost assertion failed: " +
std::string(expr)));

Here is the code for invoking enableExtrapolation:
boost::shared_ptr<YieldTermStructure> bondDiscountingTermStructure;
bondDiscountingTermStructure->enableExtrapolation();

bondDiscountingTermStructure = boost::shared_ptr<YieldTermStructure> (
new PiecewiseYieldCurve<Discount,LogLinear>(settlementDate, bondInstruments,
termStructureDayCounter,tolerance));

I have stuck on this issue for about a week. Your help will be really appreciated.

Luigi Ballabio

Re: error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

Hello,
this usually points to a data problem; the bracketing error means
that, given the previous nodes, the curve can't find a value of the
5-years forward that gives the bond price you quoted. What is the
error message you're getting? (I mean, with xMin_ and the other
variables filled in). That will give you the range that the curve is
trying. You can:
- check that you're allowing negative rates. This is the default in
the most recent release, but you might be using an older one. You can
check ql/userconfig.hpp if you're using Windows or ql/config.hpp on
other platforms; in either case, QL_NEGATIVE_RATES should be defined.
You can also see it from the error message; if negative rates are not
enabled, it will show 0 as the lower bound.
- you can also try bootstrapping the curve without the 5-years node,
enable extrapolation (after the curve is built, or it will give you
the second error you got--you were trying to modify a curve which
didn't exist yet) and try to price the 5-years bond. This might give
you an idea of how far your quote is from what the curve so far is
implying; if they're too different, it might be likely that the 5-year
node alone can't bring the price to the quoted one, no matter how the
bootstrap process tries to move it.

Luigi

On Mon, Apr 15, 2013 at 5:06 AM, hudsoncity <[hidden email]> wrote:

> Hi, I am new to QuantLib. I am trying to build Treasury Curve using
> piecewiseYieldCurve by using T-Bills, T-Notes, and T-Bond. I am pretty much
> copied the code from bonds.cpp. It doesn't give the error with T-Bills plus
> 2 yr and 3yr term T-Notes. But once adding longer term T-Note or T-Bond, it
> gives error at line 202 of solver1d.hpp:
> QL_REQUIRE(fxMin_*fxMax_ < 0.0,
> "root not bracketed: f["
> << xMin_ << "," << xMax_ << "] -> ["
> << std::scientific
> << fxMin_ << "," << fxMax_ << "]");
>
> Here is the code:
> int main(int, char* []) {
> try{
> boost::timer timer;
> std::cout << std::endl;
>
> Calendar calendar = UnitedStates(UnitedStates::GovernmentBond);;
> Date settlementDate(6, April, 2013);
> cout << "Is BD:" << calendar.isBusinessDay( settlementDate ) << std::endl
> ;
> cout << "Is Holiday :" << calendar.isHoliday( settlementDate ) <<
> std::endl ;
> cout << "Is Weekend :" << calendar.isWeekend( Saturday ) << std::endl;
> cout << "Is Last BD :" << calendar.isEndOfMonth( settlementDate) <<
> std::endl;
>
> settlementDate = calendar.adjust(settlementDate);
>
> Integer fixingDays = 1;
> Natural settlementDays = 1;
>
> Date todaysDate = calendar.advance(settlementDate, -fixingDays,
> Days);
> // nothing to do with Date::todaysDate
> Settings::instance().evaluationDate() = todaysDate;
>
> std::cout << "Today: " << todaysDate.weekday()
> << ", " << todaysDate << std::endl;
>
> std::cout << "Settlement date: " << settlementDate.weekday()
> << ", " << settlementDate << std::endl;
>
> // ZC rates for the short end
> // use the quote in wsj:
> http://online.wsj.com/mdc/public/page/2_3020-treasury.html#treasuryB
> Rate TB4WKsQuote=0.045;
> Rate TB13WKsQuote=0.065;
> Rate TB26WKSQuote=0.095;
> Rate TB52WKSQuote=0.130;
>
> //pointer to the quote
> boost::shared_ptr TB4WKsRate(new SimpleQuote(TB4WKsQuote));
> boost::shared_ptr TB13WKsRate(new SimpleQuote(TB13WKsQuote));
> boost::shared_ptr TB26WKSRate(new SimpleQuote(TB26WKSQuote));
> boost::shared_ptr TB52WKSRate(new SimpleQuote(TB52WKSQuote));
>
> //Treasury securities use actual/actual day count convention
> DayCounter zcBondsDayCounter = ActualActual();
> Date d1 (1,Oct ,2012);
> Date d2=d1 +2* Months ;
> std :: cout << " Days Between d1/ d2:" <<zcBondsDayCounter.dayCount (d1
> ,d2) << std :: endl ;
> std :: cout << " Year Fraction d1 /d2:"
> <<zcBondsDayCounter.yearFraction (d1 ,d2) << std :: endl ;
>
> //pointer to the instrument
> boost::shared_ptr<RateHelper> zc4WK(new DepositRateHelper(
> Handle(TB4WKsRate),
> 4*Weeks, fixingDays,
> calendar, ModifiedFollowing,
> true, zcBondsDayCounter));
> boost::shared_ptr<RateHelper> zc13WK(new DepositRateHelper(
> Handle(TB13WKsRate),
> 13*Weeks, fixingDays,
> calendar, ModifiedFollowing,
> true, zcBondsDayCounter));
> boost::shared_ptr<RateHelper> zc26WK(new DepositRateHelper(
> Handle(TB26WKSRate),
> 26*Weeks, fixingDays,
> calendar, ModifiedFollowing,
> true, zcBondsDayCounter));
> boost::shared_ptr<RateHelper> zc52WK(new DepositRateHelper(
> Handle(TB52WKSRate),
> 52*Weeks, fixingDays,
> calendar, ModifiedFollowing,
> true, zcBondsDayCounter));
>
> //set up the on the run bond
> Real redemption = 100.0;
>
> const Size numberOfBonds = 6;
>
> Date issueDates[] = {
> Date (1, April, 2013),
> Date (15, March, 2013),
> Date (1, April, 2013),
> Date (1, April, 2013),
> Date (15, March, 2013),
> Date (15, March, 2013)
> };
>
> Date maturities[] = {
> Date (31, March, 2015),
> Date (15, March, 2016),
> Date (31, March, 2018),
> Date (31, March, 2020),
> Date (15, February, 2023),
> Date (15, February, 2043)
> };
>
> Real couponRates[] = {
> 0.25,
> 0.375,
> 0.750,
> 1.125 ,
> 2.0,
> 3.125
> };
>
> Real marketQuotes[] = {
> 100.0391 ,
> 100.1484 ,
> 100.3594 ,
> 100.1094 ,
> 102.7422 ,
> 105.2422
> };
>
> //pointer to the quote
> std::vector< boost::shared_ptr<SimpleQuote> > quote;
> for (Size i=0; i<numberOfBonds; i++) {
> boost::shared_ptr<SimpleQuote> cp(new
> SimpleQuote(marketQuotes[i]));
> quote.push_back(cp);
> }
>
> //pointer to the pointer of the quote
> RelinkableHandle quoteHandle[numberOfBonds];
> for (Size i=0; i<numberOfBonds; i++) {
> quoteHandle[i].linkTo(quote[i]);
> }
>
> // Definition of the rate helpers
> std::vector<boost::shared_ptr<FixedRateBondHelper> >
> bondsHelpers;
>
> //pointer to the bond instruments
> for (Size i=0; i<numberOfBonds; i++) {
>
> Schedule schedule(issueDates[i], maturities[i],
> Period(Semiannual), UnitedStates(UnitedStates::GovernmentBond),
> Unadjusted, Unadjusted, DateGeneration::Backward,
> false);
>
> boost::shared_ptr<FixedRateBondHelper> bondHelper(new
> FixedRateBondHelper(
> quoteHandle[i],
> settlementDays,
> 100.0,
> schedule,
> std::vector<Rate>(1,couponRates[i]),
> ActualActual(ActualActual::Bond),
> Unadjusted,
> redemption,
> issueDates[i]));
>
> bondsHelpers.push_back(bondHelper);
> }
>
> /*********************
> ** CURVE BUILDING **
> *********************/
> // ActualActual::ISDA ensures that 30 years is 30.0
> DayCounter termStructureDayCounter =
> ActualActual(ActualActual::ISDA);
>
> double tolerance = 1.0e-15;
>
> // A depo-bond curve
> std::vector<boost::shared_ptr<RateHelper> > bondInstruments;
> //covers all types of bond
>
> //add T-bills to the bondInstruments vector for 4-52 weeks
> bondInstruments.push_back(zc4WK);
> bondInstruments.push_back(zc13WK);
> bondInstruments.push_back(zc26WK);
> bondInstruments.push_back(zc52WK);
>
> bondInstruments.push_back(bondsHelpers[0]); //2 yr T-Note
> bondInstruments.push_back(bondsHelpers[1]); //3 yr T-Note
> bondInstruments.push_back(bondsHelpers[2]); //5 yr T-Note, resulting
> error
>
> //build the yieldtermstructure
> boost::shared_ptr<YieldTermStructure> bondDiscountingTermStructure(
> new PiecewiseYieldCurve<Discount,LogLinear>(
> settlementDate, bondInstruments,
> termStructureDayCounter,
> tolerance));
>
> ----------------
> I saw in one thread that the similar problem solved by adding line
> yieldtermstructure->enableExtrapolation();
> I tried but it causes the error at line 88 of errors.cpp:
> throw std::runtime_error(format(file, line, function,
> "Boost assertion failed: " +
> std::string(expr)));
>
> Here is the code for invoking enableExtrapolation:
> boost::shared_ptr<YieldTermStructure> bondDiscountingTermStructure;
> bondDiscountingTermStructure->enableExtrapolation();
>
> bondDiscountingTermStructure =
> boost::shared_ptr<YieldTermStructure> (
> new PiecewiseYieldCurve<Discount,LogLinear>(settlementDate,
> bondInstruments,
> termStructureDayCounter,tolerance));
>
> I have stuck on this issue for about a week. Your help will be really
> appreciated.
>
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/error-in-building-yieldtermstructure-using-T-Bills-T-Notes-and-T-Bond-tp14209.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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> https://lists.sourceforge.net/lists/listinfo/quantlib-users

------------------------------------------------------------------------------
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analytics on semi-structured data. The platform includes APIs for building
apps and a phenomenal toolset for data science. Developers can use
our toolset for easy data analysis & visualization. Get a free account!
http://www2.precog.com/precogplatform/slashdotnewsletter
_______________________________________________
QuantLib-users mailing list
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https://lists.sourceforge.net/lists/listinfo/quantlib-users

hudsoncity

Re: error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

Really appreciate your response.

The QL_NEGATIVE_RATES was enabled in ql/userconfig.hpp. I am using VS2010.

I am running the debug, here are the value of the variables:

fxMin_=-60.717
fxMax_=-449.269

xMin_=0.03742
xMAX_=2.22055

Do those values make sense? I wonder what exactly f is, a cost function? xMin/xMAX seems like horizon in years

I just did the extrapolation with 5 yr T-note and in the process to make a sense of it.

Thanks

From: Luigi Ballabio <[hidden email]>
To: hudsoncity <[hidden email]>
Cc: QuantLib QuantLib <[hidden email]>
Sent: Monday, April 15, 2013 3:27 AM
Subject: Re: [Quantlib-users] error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

Luigi Ballabio

Re: error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

xMin/xMax are the boundaries of the range in which the solver is
trying to find the correct discount factor.

However, it turns out the problem was much simpler. It's the coupon
rates you're passing.
0.25 actually means 25%. If you want a coupon of 0.25%, you'll need
to pass 0.0025; if you want a 3% coupon, pass 0.03. With coupons of
the correct magnitude, your curve will bootstrap correctly (right now
it's try to match a coupon of 75% with a price of 100.3594, and not
surprisingly it fails).

Luigi

On Tue, Apr 16, 2013 at 6:37 AM, song xu <[hidden email]> wrote:

> Really appreciate your response.
>
> The QL_NEGATIVE_RATES was enabled in ql/userconfig.hpp. I am using VS2010.
>
> I am running the debug, here are the value of the variables:
> fxMin_=-60.717
> fxMax_=-449.269
> xMin_=0.03742
> xMAX_=2.22055
>
> Do those values make sense? I wonder what exactly f is, a cost function?
> xMin/xMAX seems like horizon in years
>
> I just did the extrapolation with 5 yr T-note and in the process to make a
> sense of it.
>
> Thanks
> From: Luigi Ballabio <[hidden email]>
> To: hudsoncity <[hidden email]>
> Cc: QuantLib QuantLib <[hidden email]>
> Sent: Monday, April 15, 2013 3:27 AM
> Subject: Re: [Quantlib-users] error in building yieldtermstructure using
> T-Bills, T-Notes, and T-Bond
>
> Hello,
> this usually points to a data problem; the bracketing error means
> that, given the previous nodes, the curve can't find a value of the
> 5-years forward that gives the bond price you quoted. What is the
> error message you're getting? (I mean, with xMin_ and the other
> variables filled in). That will give you the range that the curve is
> trying. You can:
> - check that you're allowing negative rates. This is the default in
> the most recent release, but you might be using an older one. You can
> check ql/userconfig.hpp if you're using Windows or ql/config.hpp on
> other platforms; in either case, QL_NEGATIVE_RATES should be defined.
> You can also see it from the error message; if negative rates are not
> enabled, it will show 0 as the lower bound.
> - you can also try bootstrapping the curve without the 5-years node,
> enable extrapolation (after the curve is built, or it will give you
> the second error you got--you were trying to modify a curve which
> didn't exist yet) and try to price the 5-years bond. This might give
> you an idea of how far your quote is from what the curve so far is
> implying; if they're too different, it might be likely that the 5-year
> node alone can't bring the price to the quoted one, no matter how the
> bootstrap process tries to move it.
>
> Luigi
>
>
> On Mon, Apr 15, 2013 at 5:06 AM, hudsoncity <[hidden email]> wrote:
>> Hi, I am new to QuantLib. I am trying to build Treasury Curve using
>> piecewiseYieldCurve by using T-Bills, T-Notes, and T-Bond. I am pretty
>> much
>> copied the code from bonds.cpp. It doesn't give the error with T-Bills
>> plus
>> 2 yr and 3yr term T-Notes. But once adding longer term T-Note or T-Bond,
>> it
>> gives error at line 202 of solver1d.hpp:
>> QL_REQUIRE(fxMin_*fxMax_ < 0.0,
>> "root not bracketed: f["
>> << xMin_ << "," << xMax_ << "] -> ["
>> << std::scientific
>> << fxMin_ << "," << fxMax_ << "]");
>>
>> Here is the code:
>> int main(int, char* []) {
>> try{
>> boost::timer timer;
>> std::cout << std::endl;
>>
>> Calendar calendar =
>> UnitedStates(UnitedStates::GovernmentBond);;
>> Date settlementDate(6, April, 2013);
>> cout << "Is BD:" << calendar.isBusinessDay( settlementDate
>> ) << std::endl
>> ;
>> cout << "Is Holiday :" << calendar.isHoliday(
>> settlementDate ) <<
>> std::endl ;
>> cout << "Is Weekend :" << calendar.isWeekend( Saturday ) <<
>> std::endl;
>> cout << "Is Last BD :" << calendar.isEndOfMonth(
>> settlementDate) <<
>> std::endl;
>>
>> settlementDate = calendar.adjust(settlementDate);
>>
>> Integer fixingDays = 1;
>> Natural settlementDays = 1;
>>
>> Date todaysDate = calendar.advance(settlementDate, -fixingDays,
>> Days);
>> // nothing to do with Date::todaysDate
>> Settings::instance().evaluationDate() = todaysDate;
>>
>> std::cout << "Today: " << todaysDate.weekday()
>> << ", " << todaysDate << std::endl;
>>
>> std::cout << "Settlement date: " << settlementDate.weekday()
>> << ", " << settlementDate << std::endl;
>>
>> // ZC rates for the short end
>> // use the quote in wsj:
>> http://online.wsj.com/mdc/public/page/2_3020-treasury.html#treasuryB
>> Rate TB4WKsQuote=0.045;
>> Rate TB13WKsQuote=0.065;
>> Rate TB26WKSQuote=0.095;
>> Rate TB52WKSQuote=0.130;
>>
>> //pointer to the quote
>> boost::shared_ptr TB4WKsRate(new SimpleQuote(TB4WKsQuote));
>> boost::shared_ptr TB13WKsRate(new SimpleQuote(TB13WKsQuote));
>> boost::shared_ptr TB26WKSRate(new SimpleQuote(TB26WKSQuote));
>> boost::shared_ptr TB52WKSRate(new
>> SimpleQuote(TB52WKSQuote));
>>
>> //Treasury securities use actual/actual day count
>> convention
>> DayCounter zcBondsDayCounter = ActualActual();
>> Date d1 (1,Oct ,2012);
>> Date d2=d1 +2* Months ;
>> std :: cout << " Days Between d1/ d2:"
>> <<zcBondsDayCounter.dayCount (d1
>> ,d2) << std :: endl ;
>> std :: cout << " Year Fraction d1 /d2:"
>> <<zcBondsDayCounter.yearFraction (d1 ,d2) << std :: endl ;
>>
>> //pointer to the instrument
>> boost::shared_ptr<RateHelper> zc4WK(new DepositRateHelper(
>> Handle(TB4WKsRate),
>> 4*Weeks, fixingDays,
>> calendar, ModifiedFollowing,
>> true, zcBondsDayCounter));
>> boost::shared_ptr<RateHelper> zc13WK(new DepositRateHelper(
>> Handle(TB13WKsRate),
>> 13*Weeks, fixingDays,
>> calendar, ModifiedFollowing,
>> true, zcBondsDayCounter));
>> boost::shared_ptr<RateHelper> zc26WK(new DepositRateHelper(
>> Handle(TB26WKSRate),
>> 26*Weeks, fixingDays,
>> calendar, ModifiedFollowing,
>> true, zcBondsDayCounter));
>> boost::shared_ptr<RateHelper> zc52WK(new DepositRateHelper(
>> Handle(TB52WKSRate),
>> 52*Weeks, fixingDays,
>> calendar, ModifiedFollowing,
>> true, zcBondsDayCounter));
>>
>> //set up the on the run bond
>> Real redemption = 100.0;
>>
>> const Size numberOfBonds = 6;
>>
>> Date issueDates[] = {
>> Date (1, April, 2013),
>> Date (15, March, 2013),
>> Date (1, April, 2013),
>> Date (1, April, 2013),
>> Date (15, March, 2013),
>> Date (15, March, 2013)
>> };
>>
>> Date maturities[] = {
>> Date (31, March, 2015),
>> Date (15, March, 2016),
>> Date (31, March, 2018),
>> Date (31, March, 2020),
>> Date (15, February, 2023),
>> Date (15, February, 2043)
>> };
>>
>> Real couponRates[] = {
>> 0.25,
>> 0.375,
>> 0.750,
>> 1.125 ,
>> 2.0,
>> 3.125
>> };
>>
>> Real marketQuotes[] = {
>> 100.0391 ,
>> 100.1484 ,
>> 100.3594 ,
>> 100.1094 ,
>> 102.7422 ,
>> 105.2422
>> };
>>
>> //pointer to the quote
>> std::vector< boost::shared_ptr<SimpleQuote> > quote;
>> for (Size i=0; i<numberOfBonds; i++) {
>> boost::shared_ptr<SimpleQuote> cp(new
>> SimpleQuote(marketQuotes[i]));
>> quote.push_back(cp);
>> }
>>
>> //pointer to the pointer of the quote
>> RelinkableHandle quoteHandle[numberOfBonds];
>> for (Size i=0; i<numberOfBonds; i++) {
>> quoteHandle[i].linkTo(quote[i]);
>> }
>>
>> // Definition of the rate helpers
>> std::vector<boost::shared_ptr<FixedRateBondHelper> >
>> bondsHelpers;
>>
>> //pointer to the bond instruments
>> for (Size i=0; i<numberOfBonds; i++) {
>>
>> Schedule schedule(issueDates[i], maturities[i],
>> Period(Semiannual), UnitedStates(UnitedStates::GovernmentBond),
>> Unadjusted, Unadjusted, DateGeneration::Backward,
>> false);
>>
>> boost::shared_ptr<FixedRateBondHelper> bondHelper(new
>> FixedRateBondHelper(
>> quoteHandle[i],
>> settlementDays,
>> 100.0,
>> schedule,
>> std::vector<Rate>(1,couponRates[i]),
>> ActualActual(ActualActual::Bond),
>> Unadjusted,
>> redemption,
>> issueDates[i]));
>>
>> bondsHelpers.push_back(bondHelper);
>> }
>>
>> /*********************
>> ** CURVE BUILDING **
>> *********************/
>> // ActualActual::ISDA ensures that 30 years is 30.0
>> DayCounter termStructureDayCounter =
>> ActualActual(ActualActual::ISDA);
>>
>> double tolerance = 1.0e-15;
>>
>> // A depo-bond curve
>> std::vector<boost::shared_ptr<RateHelper> > bondInstruments;
>> //covers all types of bond
>>
>> //add T-bills to the bondInstruments vector for 4-52
>> weeks
>> bondInstruments.push_back(zc4WK);
>> bondInstruments.push_back(zc13WK);
>> bondInstruments.push_back(zc26WK);
>> bondInstruments.push_back(zc52WK);
>>
>> bondInstruments.push_back(bondsHelpers[0]);
>> //2 yr T-Note
>> bondInstruments.push_back(bondsHelpers[1]);
>> //3 yr T-Note
>> bondInstruments.push_back(bondsHelpers[2]);
>> //5 yr T-Note, resulting
>> error
>>
>> //build the yieldtermstructure
>> boost::shared_ptr<YieldTermStructure> bondDiscountingTermStructure(
>> new PiecewiseYieldCurve<Discount,LogLinear>(
>> settlementDate, bondInstruments,
>> termStructureDayCounter,
>> tolerance));
>>
>> ----------------
>> I saw in one thread that the similar problem solved by adding line
>> yieldtermstructure->enableExtrapolation();
>> I tried but it causes the error at line 88 of errors.cpp:
>> throw std::runtime_error(format(file, line, function,
>> "Boost assertion failed: " +
>> std::string(expr)));
>>
>> Here is the code for invoking enableExtrapolation:
>> boost::shared_ptr<YieldTermStructure>
>> bondDiscountingTermStructure;
>> bondDiscountingTermStructure->enableExtrapolation();
>>
>> bondDiscountingTermStructure =
>> boost::shared_ptr<YieldTermStructure> (
>> new
>> PiecewiseYieldCurve<Discount,LogLinear>(settlementDate,
>> bondInstruments,
>> termStructureDayCounter,tolerance));
>>
>> I have stuck on this issue for about a week. Your help will be really
>> appreciated.
>>
>>
>>
>>
>> --
>> View this message in context:
>> http://quantlib.10058.n7.nabble.com/error-in-building-yieldtermstructure-using-T-Bills-T-Notes-and-T-Bond-tp14209.html
>> Sent from the quantlib-users mailing list archive at Nabble.com.
>>
>>
>> ------------------------------------------------------------------------------
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>
>

cheng li

答复: error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

In reply to this post by hudsoncity

The data you got from the link, e.g. coupons and yields, are expressed in percentage. However Quantlib accepts these input in decimal format. So you should change it accordingly, i.e. dividing them by 100.

发件人: song xu [mailto:[hidden email]]
发送时间: 2013年4月16日 12:37
收件人: Luigi Ballabio
抄送: QuantLib QuantLib
主题: Re: [Quantlib-users] error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

Really appreciate your response.

The QL_NEGATIVE_RATES was enabled in ql/userconfig.hpp. I am using VS2010.

I am running the debug, here are the value of the variables:

fxMin_=-60.717
fxMax_=-449.269

xMin_=0.03742
xMAX_=2.22055

Do those values make sense? I wonder what exactly f is, a cost function? xMin/xMAX seems like horizon in years

I just did the extrapolation with 5 yr T-note and in the process to make a sense of it.

Thanks

hudsoncity

Re: error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

In reply to this post by Luigi Ballabio

That is it! After coupon/100, it works!

A million thanks!

From: Luigi Ballabio <[hidden email]>
To: song xu <[hidden email]>
Cc: QuantLib QuantLib <[hidden email]>
Sent: Tuesday, April 16, 2013 5:44 AM
Subject: Re: [Quantlib-users] error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

hudsoncity

Re: 答复: error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

In reply to this post by cheng li

You nailed it! It works after coupon/100. Many, many thanks!

It was as silly as it could be.

From: Cheng Li <[hidden email]>
To: 'song xu' <[hidden email]>; 'Luigi Ballabio' <[hidden email]>
Cc: 'QuantLib QuantLib' <[hidden email]>
Sent: Tuesday, April 16, 2013 6:45 AM
Subject: 答复: [Quantlib-users] error in building yieldtermstructure using T-Bills, T-Notes, and T-Bond

Really appreciate your response.

The QL_NEGATIVE_RATES was enabled in ql/userconfig.hpp. I am using VS2010.

I am running the debug, here are the value of the variables:

fxMin_=-60.717
fxMax_=-449.269

xMin_=0.03742
xMAX_=2.22055

Do those values make sense? I wonder what exactly f is, a cost function? xMin/xMAX seems like horizon in years

I just did the extrapolation with 5 yr T-note and in the process to make a sense of it.

Thanks