I’m attempting to bootstrap a term structure using the qlPiecewiseYieldCurve function in QuantlibXL. I keep getting errors such as this one:
** qlYieldTSForwardRate - 1st iteration: failed at 7th alive instrument, pillar June 15th, 2017, maturity June 15th, 2017, reference date March 2nd, 2017: root not bracketed: f[0.961927,1.03397] -> [1.252676e+02,9.693099e+01] **
In this particular case the date period corresponds to the first futures instrument being used, which is EDH7. The other parameters as set are the following:
Max Futures 3
Fut Roll Days 3
DepoPriority AllDepos
Min Distance 3
iborIndex usd_3m_libor#0000
Error
ObjectID usd_3m_libor
FamilyName USD_Libor
Tenor 3M
FixingDays 2
Currency USD
Calendar UnitedStates::GovernmentBond
BDayConvention MF
EndOfMonth TRUE
DayCounter ACT/360
FwdCurve
Permanent TRUE
Trigger
Overwrite
Any help is very much appreciated.
-LC
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