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Re: Rate Curve Boostrapping Error using QLib XL

Posted by MAZZOCCHI PAOLO on Sep 06, 2016; 10:15pm
URL: http://quantlib.414.s1.nabble.com/Rate-Curve-Boostrapping-Error-using-QLib-XL-tp17678p17690.html

Hi Mitul,


I think that the problem in your spreadsheet is in the evaluation date.

In fact the evaluation date is set to 06/01/10 and the futures that you are using are the one between 21/12/16 (U6) and 20/09/18 (M8), that is between 6Y and 9Y swaps. 

The bootstrap fails because futures and swaps quotes are really different, 0.73% for the first futures (pillar date 21/12/16) against 3.027% for 7 years swaps (pillar date 09/01/17).


If you try to set evaluation date to today, the bootstrap succeed.


Hope this help.


Regards,

Paolo


Da: Mitul Patel <[hidden email]>
Inviato: martedì 6 settembre 2016 22.34
A: Luigi Ballabio
Cc: [hidden email]
Oggetto: Re: [Quantlib-users] Rate Curve Boostrapping Error using QLib XL
 
Hi Luigi,


Thanks for looking into this. 

Please see below the rates. I've also included the other configuration for these rates/instruments. Please let me know if you need anything further.



ObjectId Rate Tenor FixingDays Calendar Convention EndOfMonth DayCounter Permanent Trigger Overwrite
Cash - 3M 0.00694000 3M 2 TARGET Modified following FALSE Actual/360 06/01/2010


ObjectId Price IMM LengthInMonths Calendar Convention EndOfMonth DayCounter ConvexityAdjQuote Permanent Trigger Overwrite
Future 1 99.2700000 U6 3 TARGET Modified Following FALSE Actual/360 0 06/01/2010
Future 2 98.9400000 Z6 3 TARGET Modified Following FALSE Actual/360 0 06/01/2010
Future 3 98.5800000 H7 3 TARGET Modified Following FALSE Actual/360 0 06/01/2010
Future 4 98.2550000 M7 3 TARGET Modified Following FALSE Actual/360 0 06/01/2010
Future 5 97.9800000 U7 3 TARGET Modified Following FALSE Actual/360 0 06/01/2010
Future 6 97.7250000 Z7 3 TARGET Modified Following FALSE Actual/360 0 06/01/2010
Future 7 97.5200000 H8 3 TARGET Modified Following FALSE Actual/360 0 06/01/2010
Future 8 97.3200000 M8 3 TARGET Modified Following FALSE Actual/360 0 06/01/2010


ObjectId Rate Tenor Calendar FixedLegFrequency FixedLegConvention FixedLegDayCounter IborIndex Spread ForwardStart DiscountingCurve Permanent Trigger Overwrite
Swap  - 3Y 0.0204500 3Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 4Y 0.0235200 4Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 5Y 0.0260800 5Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 6Y 0.0283100 6Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 7Y 0.0302700 7Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 8Y 0.0318800 8Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 9Y 0.0331800 9Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 10Y 0.0343200 10Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 11Y 0.0353700 11Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 12Y 0.0363000 12Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 15Y 0.0382900 15Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 20Y 0.0395000 20Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 25Y 0.0392700 25Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 30Y 0.0386400 30Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 40Y 0.0373100 40Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010
Swap  - 50Y 0.0368400 50Y Target Annual Modified following 30/360 (Bond Basis) EURIBOR#0000 0 0D 06/01/2010

 
Thanks,

Mitul

On 6 September 2016 at 11:09, Luigi Ballabio <[hidden email]> wrote:
Hello Mitul,
    I don't seem to be able to open the spreadsheet.  May you just post the rates as text?

Thanks,
    Luigi


On Tue, Aug 30, 2016 at 10:41 PM Mitul Patel <[hidden email]> wrote:
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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