Iterative Bootstrap

Posted by Dobrin Petkov on
URL: http://quantlib.414.s1.nabble.com/Iterative-Bootstrap-tp16414.html

Hi, 

    I have a problem with bootstrapping a yield curve. The iterative bootstrap fails on the first iteration. Debugging I found the problem is that there are two different bonds with same time to maturity. They are both German bonds with respective maturity dates 16-Dec-2016 and 4-Jan-2017. The yield curve reference date is 30-Mar-2015 and the used day count convention is ActualActural::ISMA. Obviously those bonds have different maturity dates, but using that day count convention time to maturity is 1.75 years for both bonds. And that leads to the failure of the algorithm.

    The iterative bootstrap checks whether there are two bonds with same maturity date. This should imply and same time to maturity check, but obviously time to maturity depends on maturity date and on the day count convention. What I want to say simply is that I think the iterative bootstrap must compare time to maturity and not maturity dates (without making the implicit assumption that they are equivalent). 

    Any thoughts on that?

Regards,

Dobrin

Oh, I use Quantlib 1.41. Sorry if that has been changed already!

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