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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