Re: dual bootstrap question

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/dual-bootstrap-question-tp14144p14161.html

the best way of ensuring no crossing curves would be to bootstrap a base (OIS) curve, and have all the others expressed as (tenor-increasing positive) basis.

I have strong ideas on how this should implemented, but no time to work on it :-(

Should I kick-start a project? ;-)

On Thu, Mar 21, 2013 at 5:43 PM, MN <[hidden email]> wrote:

I agree with you. Nevertheless, it would be useful to have some assurance for non crossing tenors independent of the selected interpolation model.

 

 

From: Ferdinando Ametrano [mailto:[hidden email]]
Sent: Thursday, March 21, 2013 4:40 PM
To: MN
Cc: QuantLib Mailing Lists
Subject: Re: [Quantlib-users] dual bootstrap question

 

On Thu, Mar 21, 2013 at 4:17 PM, MN <[hidden email]> wrote:

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

 

which is a loud and clear warning IMO about the need to switch to a reliable interpolation method, i.e. monotonic interpolation

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