Re: Bootstrapping yield curve from using ForwardFlat

Posted by igitur on May 06, 2014; 12:17pm
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-yield-curve-from-using-ForwardFlat-tp15235p15237.html

Hi,

The code is at http://pastie.org/private/56rqzqv7sn8lnbndfaaluw

Francois

Francois Botha

On 6 May 2014 13:45, Luigi Ballabio <[hidden email]> wrote:

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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