Posted by
Bojan Nikolic on
Sep 22, 2010; 11:21am
URL: http://quantlib.414.s1.nabble.com/PeiceWise-and-FuturesRateHelper-tp1464p1468.html
,----
|
| 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.
`----
The reason for the NUM! error is that the prices as given in the
FuturesRateHelper2 calls are not consistent with a non-negative yield
and the root-finding algorithm aborts at the first iteration of the
solving for the yield. I think the underlying reason is that the
convexity should be supplied in a different convention, this is what the
documentation shows:
,----
| ConvexityAdjQuote convexity adjustment quote (i.e. Forward rate = Futures rate - convexity adjustment).
`----
--
Bojan Nikolic ||
http://www.bnikolic.co.uk/ql------------------------------------------------------------------------------
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