Re: exception "Could not bootstrap curve"
Posted by
Xavier.Abulker on
URL: http://quantlib.414.s1.nabble.com/exception-Could-not-bootstrap-curve-tp3343p3347.html
Yes I know that's too old but we are
working to upgrade the version!
I'm going to change that in the code.
Thank you very much for help.
Xavier
On 2004.09.24 16:00, [hidden email] wrote:
> > which version of QuantLib are you using?
> 0.3.4
Hmm, oldish. Wait a minute while I fetch it from CVS...
Ok, I see. In ql/TermStructures/piecewiseflatforward.cpp, line 116,
there's
double min = accuracy_*10e-4,
max = discounts_[i-1];
try {
solver.solve(FFObjFunction(this,instrument,i),
accuracy_,guess,min,max);
Setting min to a small number says that discounts must be positive,
which must be enforced. Setting max to the previous value says that the
discounts must be decreasing, which in turn means that rates must be
positive. You can try increasing max (say, twice the previous discount)
to allow negative rates.
Hope this helps,
Luigi
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