Day counting offset

Posted by Guowen Han on
URL: http://quantlib.414.s1.nabble.com/Day-counting-offset-tp3882.html


Hi, All

I have a day counting offset problem.

When I fit a swaption volatility (with maturity 10 years and length 20) in  a 30 year zero yield curve, I got the following error message:

In function `void QuantLib::YieldTermStructure::checkRange(QuantLib::Time, bool) const':
time (30.0082) is past max curve time (30)

Does anyone know how to fix it? My current solution is to take one month off the maturity, which is 119 months.


Thanks.

Guowen