Re: Bond Pricing: root not bracketed
Posted by
Florent Grenier on
URL: http://quantlib.414.s1.nabble.com/Mingw-Cygwin-build-success-tp6807p6813.html
Hi Eduardo,
This message is sent by the solver (used for the bootstrapping of the curve) when it cannot find any solution. It usually happens when there are some important jumps between two quotes (but the 'nan' values are quite weird by the way), the error message being like this one:
1st iteration: could not bootstrap the 2nd instrument, maturity March 18th, 2009: root not bracketed: f[2.22045e-16,0.975447] -> [-9.081845e+15,-3.625890e-02]
Does that error happen when executing the sample that is provided within the Quantlib package? Or did you modify it? Which version of Quantlib are you using?
Another thing, if you have some bootstrapping problems on bonds, you should consider using the FittedBondDiscountCurve class (see FittedBondCurve sample) instead, which provides more advanced fitters than the PiecewiseYieldCurve
Best regards,
Florent
2008/11/27 Eduardo Montoya
<[hidden email]>
Hello everyone,
I am reading the Bonds.cpp example and I am trying to understand how does it work.
Could anyone give me any idea about why I am getting the following error?
root not bracketed: f[0,1] -> [nan,nan]
I would like to know if it is a runtime error or an well known application error.
thanks in advance,
Eduardo
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