Bootstrapping yield curve from using ForwardFlat
Posted by
igitur on
May 06, 2014; 11:15am
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-yield-curve-from-using-ForwardFlat-tp15235.html
Hi,
I'm trying to construct a yield curve from underlying bonds, with the assumption that forward rates between constituent dates are flat, but I'm getting an exception:
iteration: 01could not bootstrap the 2 instrument, maturity 2015/09/15: root not bracketed: f[2.22044604925031E-16,3] -> [-0.630056170925172,-0.630056170925172]
It is a result of fxMin_ and fxMax_ being the same values, when solving for the interpolated value.
I found a similar thread from 2013 which experienced the same issue:
but there was no solution.
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