Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-yield-curve-from-using-ForwardFlat-tp15235p15236.html
Hi,
can you post some code that reproduces the problem?
Luigi
On Tue, May 6, 2014 at 1:15 PM, Francois Botha <
[hidden email]> wrote:
> 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:
>
http://sourceforge.net/p/quantlib/mailman/message/30416455/>
> but there was no solution.
>
> thanks
> Francois Botha
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