Re: Building Yield Curve

Posted by g m-10 on Nov 09, 2011; 3:34pm
URL: http://quantlib.414.s1.nabble.com/Autocallable-with-trinomial-tree-tp6840p6845.html

Hello,
 
Thank you for your reply.
 
Actually I noticed something weird with the method FuturesRateHelper::impliedQuote() called by BootstrapHelper::quoteError()
(If you wanna do some debug set a breakpoint on the line "Real r = solver.solve(error,ts_->accuracy_,guess,min,max)" in IterativeBootstrap<Curve>::calculate())
 
The line termStructure_->discount(latestDate_) in  FuturesRateHelper::impliedQuote() return a strange value for discount factor (2.22E-16) at December 19th, 2012 so the forwardRate retruned by the method is absurd.
 
Any ideas on why it is behaving this way?

Thanks!
Regards 
 

> From: [hidden email]

> To: [hidden email]
> CC: [hidden email]; [hidden email]
> Subject: Re: [Quantlib-users] Building Yield Curve
> Date: Tue, 8 Nov 2011 15:30:54 +0000
>
>
> Just to add since the problem is maturity at December 19th, 2012 it is
> more likely the problem is transition from deposit to futures rates.
>
> "Viala Jean-Renaud (AMUNDI)" <[hidden email]> writes:
>
> > 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]
> >
> >
> >
> > ________________________________
> >
> > 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,
> >
> > ------------------------------------------------------------------------------
> > RSA(R) Conference 2012
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>
> --
> Bojan Nikolic || http://www.bnikolic.co.uk

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