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
QLXL+test.xlsx