Re: Building Yield Curve

Posted by jean-renaud viala on Nov 08, 2011; 3:25pm
URL: http://quantlib.414.s1.nabble.com/Autocallable-with-trinomial-tree-tp6840p6843.html

Hello

This kind of message occurs when the solver cannot find a solution in the bootstrapping algorithm

You’re using too many datapoints in your curve and all of them do not have the same liquidity

Try suppressing some of your datapoint (especiallu the long term future) they might be incompatible with the swap yields

(I’m speaking of experience s I got a lot of theses returns usually thought not on the EUR curve but then I’m not using Futurs)

regards

 

Amundi
	Jean-Renaud Viala
	Head of Diversified Quant Research
	90 Bd Pasteur - CS 21 564 Paris Cedex 05 - France
	Web: http://www.amundi.com
	Tel: [phone]
	@: [hidden email]

 

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From: [hidden email] [mailto:[hidden email]] On Behalf Of g m
Sent: Tuesday, November 08, 2011 4:09 PM
To: [hidden email]
Subject: [Quantlib-users] Building Yield Curve

 

Hi all,
 
I get the following error when trying to use futures in building yield curve :
 
qlTermStructureMaxDate - 1st iteration: failed at 10th alive instrument, maturity December 19th, 2012, reference date November 4th, 2011: root not bracketed: f[2.22045e-016,0.979507] -> [1.751305e+018,3.392778e-001]
 
Please see the attached excel file, I'm using 1.1.0 version.
 
Thanks!
Regards,

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