Re: dual bootstrap question

Posted by Magnus Nystrom-3 on
URL: http://quantlib.414.s1.nabble.com/dual-bootstrap-question-tp14144p14155.html

Ok, however, in my experience it may happen for some interpolation models where oscillation can cause problems in the long end.

 

/Magnus

 

From: Ferdinando Ametrano [mailto:[hidden email]]
Sent: Thursday, March 21, 2013 3:40 PM
To: MN
Cc: QuantLib Mailing Lists
Subject: Re: [Quantlib-users] dual bootstrap question

 

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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