Re: dual bootstrap question

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/dual-bootstrap-question-tp14144p14153.html

On Tue, Mar 19, 2013 at 9:57 AM, MN <[hidden email]> wrote:

I'm wondering if the dual bootstrap functionality in Quantlib provides for a
way to guarantee that different tenor curves will not cross each other eg.
that a 6m fwd curve does not go below a 3m fwd curve. I suppose the only way
to do this is to simultaneously bootstrap all tenors. Thanks.

no need in my experience to enforce such a condition: input market rates for 6M are higher the 3M ones, resulting in a non crossing curves

Nando

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