Rate Curve Boostrapping Error using QLib XL

Posted by Mitul Patel on Aug 30, 2016; 7:21pm
URL: http://quantlib.414.s1.nabble.com/Rate-Curve-Boostrapping-Error-using-QLib-XL-tp17678.html

Hi,

I am a relatively new user to QLib XL. I am getting the following error when trying to bootstrap a rate curve as per the attached spreadsheet (cells E83 to E105).

'qlPiecewiseYieldCurveData - 1st iteration: failed at 12th alive instrument, maturity January 8th, 2018, reference date January 6th, 2010: root not bracketed: f[0.780492,0.866129] -> [9.956026e-004,1.327038e-002]'

The error seems to be caused by the 8y swap - removing that item from the curve construction does indeed get around this error. 

I have read that it could be caused by the Loglinear interpolation, but changing to Linear did not change the outcome in this example. Also the error obtained is from an old version of Quantlib XL, so am not sure if the issue is resolved by a later version. Would be grateful for any guidance on this issue.

Many thanks,

Mitul

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