Login  Register

Re: PeiceWise and FuturesRateHelper

Posted by DHar on Sep 20, 2010; 4:50pm
URL: http://quantlib.414.s1.nabble.com/PeiceWise-and-FuturesRateHelper-tp1464p1467.html

Hi Nando,
Many thanks for the reply. I have installed Qlxl1.01 and still seeing the same behaviour.

The ED Futures are currently set to use the 0.00 Convexity column P.
if you change these to Column 0, with the volatility values you'll then see the error in the piecewise yield curve dates function (NUM!)

besides this the dates retuned are incorrect.

Worksheet attached...
Kind Regards



Ferdinando Ametrano wrote
On Mon, Sep 20, 2010 at 8:57 AM, DHar wrote:
> Would anyone have any suggestions for this?

I might take a look at it if you provide a simplified workbook. Even
better if you use the 1.0.1 release candidate at
http://sourceforge.net/projects/quantlib/files/prerelease/

ciao -- Nando

------------------------------------------------------------------------------
Start uncovering the many advantages of virtual appliances
and start using them to simplify application deployment and
accelerate your shift to cloud computing.
http://p.sf.net/sfu/novell-sfdev2dev
_______________________________________________
QuantLib-users mailing list
QuantLib-users@lists.sourceforge.net
https://lists.sourceforge.net/lists/listinfo/quantlib-users
QLXL+test.xlsx