Bugs item #3014862, was opened at 2010-06-11 16:43
Message generated for change (Comment added) made by amaggiulli
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Category: None
Group: None
>Status: Closed
>Resolution: Fixed
Priority: 5
Private: No
Submitted By: Andrea Maggiulli (amaggiulli)
Assigned to: Nobody/Anonymous (nobody)
Summary: Cannot Bootstrap Piecewise Curve
Initial Comment:
Hi , my EURIRS curve Values at 14/06/2010 are :
1M = 0,438
2M = 0,5440
3M = 0,7180
4M = 0,8030
5M = 0,8990
6M = 1,0010
7M = 1,0390
8M = 1,0890
9M = 1,1390
10M = 1,1800
11M = 1,2200
1Y = 1.0690
2Y = 1,2610
I cannot bootstrap this curve , have error root bracketed error for point 12 ( quote goes down form 1,22 to 1.0690 ) . Im using Piecewise curve for pricing a swap.
How can i fix it ? Ty
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>Comment By: Andrea Maggiulli (amaggiulli)
Date: 2010-06-16 12:00
Message:
Fixed. Have to set : QL_NEGATIVE_RATES
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