Re: Iterative Bootstrap

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Iterative-Bootstrap-tp16414p16416.html

Hello,

    the day count convention for the curve does not necessarily be the same as the one used for the bond coupons. I'd suggest you change the day count for the curve to one that behaves better (act/360 or act/365). As long as you work with dates and not with times directly, it won't affect your results.

    Luigi

On Fri, Mar 27, 2015 at 1:36 PM, Dobrin Petkov <[hidden email]> wrote:

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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