QL fitted curve has weird shape when transiotioning from Futures to Swap

Posted by imachabeli on
URL: http://quantlib.414.s1.nabble.com/QL-fitted-curve-has-weird-shape-when-transiotioning-from-Futures-to-Swap-tp13379.html

Picture is better than thousand words so attached is the curve fitted via QL

convex monotone (PiecewiseYieldCurve<ForwardRate ,ConvexMonotone>) vs

bloomberg for the same settle date,  same instruments and  same convexity

adjustments on futures.

 

At 4 year period fitting transition from futures to swap and curve has weird

shape. I tried to add couple of futures closer to 4Y point but that does not

help.

 

Question probably goes to  Luigi, what am I missing , is there extra setting

to preserve the the sign of the second derivative?

 

Thanks

Irakli

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