PeiceWise and FuturesRateHelper

Posted by DHar on Sep 09, 2010; 5:09pm
URL: http://quantlib.414.s1.nabble.com/PeiceWise-and-FuturesRateHelper-tp1464.html


Using PeicewiseYieldCurve, I'm trying to construct a 3 month USD discount curve from the first 8 eurusd contracts. This curve is being built from the 8 Futures Objects I have built using the FuturesRateHelper2. 

The problem is if I adjust the Convexity within the FuturesRateHelper2 from 0.00 (as per the sample spreadsheet "YieldCurveBootstrapping"), the PiecewiseYieldCurveDates and PiecewiseYieldCurveData from the PiecewiseYieldCurve changes to NUM!....... Im inserting the convexity as the Implied Volatility for each contract. 

Also a point to note, is that the PiecewiseYieldCurveDates returns the wrong Future settlement dates.... The first two Sep10 and Dec10 are correct as the 3rd Wednesday,however March and June show Tuesday and Thursday respectively. QuantLib XL returns the correct dates when I use QLIMMDate on the same IMM code, so why does the PiecewiseYieldCurveDates return the wrong array of dates from the constructed YieldCurve thats built from the FutureRatesHelper Objects? 

Cheers
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