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

Posted by Luigi Ballabio on Apr 09, 2011; 11:24am
URL: http://quantlib.414.s1.nabble.com/QL-fitted-curve-has-weird-shape-when-transiotioning-from-Futures-to-Swap-tp13379p13380.html


On Apr 8, 2011, at 10:32 PM, Irakli Machabeli wrote:

> 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?

Ferdinando is the curve expert here.  Any suggestions?

Luigi



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