Re: Unable to bootstrap USD 3M libor curve
Posted by
Luigi Ballabio on
May 29, 2017; 1:25pm
URL: http://quantlib.414.s1.nabble.com/Unable-to-bootstrap-USD-3M-libor-curve-tp18312p18315.html
Hello Sumit,
as far as I can see, you're using self.helpers to store the list of helpers for both bootstraps. When you bootstrap the OIS curve, you fill self.helpers with the OIS swap helpers. When you bootstrap the Libor curve, you don't clean it up and add the Libor helpers (line 48, `self.helpers += [...]`). This way, the second curve tries to bootstrap over both the Libor and OIS swaps and can't find rates that fit all of them. To avoid mixups, I'd use two different variables for the two sets of helpers.
Hope this helps,
Luigi
On Sun, May 28, 2017 at 11:37 PM Sumit Sengupta <
[hidden email]> wrote:
Hi;
I recently purchased the pdf book quantlib python cookbook by Luigi Ballabio
I have been trying to bootstrap a USD 3M libor curve using a OIS (FF) discounting curve, but it keeps failing.
Please see code attached.
Can someone please help me?
Thanks
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