http://quantlib.414.s1.nabble.com/convergence-error-for-flat-yield-curve-using-cubic-spline-tp15858p15867.html
Thank you for spotting this. Most of the code was copied for the demo swap valuation. Out of the office this week but will give this a try when I get back.
> On 13 Sep 2014, at 12:39, Peter Caspers <
[hidden email]> wrote:
>
> Hi Jon,
> your tolerance (1E-15) is very tight, try to relax that (in your
> example 1E-14 already works, but the standard value 1E-12 should be
> sufficient, too ?).
> Peter
>
>
>> On 12 September 2014 20:22, Jon Lee <
[hidden email]> wrote:
>> Hi all,
>> Can someone help point out what I am doing wrong? I am getting convergence
>> errors when trying to bootstrap a yield curve using cubic spline. I have
>> narrowed it down to a test case which is just a flat yield curve with 3
>> instruments (1w and 1m cash and 2y swap) all at 6%.
>> The main code is:
>>
>> depoFRASwapInstruments.push_back(d1w);
>> depoFRASwapInstruments.push_back(d1m);
>> depoFRASwapInstruments.push_back(s2y);
>>
>> boost::shared_ptr<YieldTermStructure> depoFRASwapTermStructure(new
>> PiecewiseYieldCurve<ZeroYield, Cubic>(settlementDate,
>> depoFRASwapInstruments, termStructureDayCounter, tolerance,
>> Cubic(CubicInterpolation::Spline, false,
>> CubicInterpolation::SecondDerivative, 0.0,
>> CubicInterpolation::SecondDerivative, 0.0)));
>>
>> // get 1 month discfact
>> std::cout << "1-month discount factor: " << std::setprecision(8) <<
>> depoFRASwapTermStructure->discount(1 / 12.0, false);
>>
>> the error it returns is "convergence not reached after 99 iterations".
>>
>> I think the code is fine as sometimes it does work (ie. if I use flat 5% it
>> works). But I often get convergence errors making things unstable. Am i
>> missing something? Does it just not converge?
>>
>> Have attached the entire code.
>>
>> Thanks,
>> Jon
>>
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