Error when using a Cubic interpolator for PiecewiseYieldCurve
Posted by
Robert Philipp on
Jul 29, 2010; 5:31pm
URL: http://quantlib.414.s1.nabble.com/Error-when-using-a-Cubic-interpolator-for-PiecewiseYieldCurve-tp7607.html
I'm just starting out with QuantlLib and started going through the
examples . In an attempt to get smoother forwards, I would like to use
a cubic (or log-cubic, or monotonic) interpolator instead of the
log-linear interpolator. So I modified the example code "
swapvaluation.cpp"
by
replacing
boost::shared_ptr<YieldTermStructure>
depoFutSwapTermStructure(
new PiecewiseYieldCurve< Discount, LogLinear>(
settlementDate,
depoFutSwapInstruments,
termStructureDayCounter,
tolerance));
with
boost::shared_ptr<YieldTermStructure>
depoFutSwapTermStructure(
new PiecewiseYieldCurve< Discount, Cubic
>(
settlementDate,
depoFutSwapInstruments,
termStructureDayCounter,
tolerance));
I get the following error message:
1st iteration: failed at 10th instrument, maturity December
20th, 2006, reference date September 22nd, 2004:
root not bracketed: f[2.22045e-016,0.932437] ->
[-3.323214e+018,-3.911669e+000]
The full output is:
Today: Monday, September 20th, 2004
Settlement date: Wednesday, September 22nd, 2004
====================================================================
5-year market swap-rate = 4.43 %
====================================================================
5-years swap paying 4.00 %
term structure | net present value | fair spread | fair fixed
rate |
--------------------------------------------------------------------
depo-swap | 19065.88 | -0.42 % |
4.43 % |
1st iteration: failed at 10th instrument, maturity December
20th, 2006, reference date September 22nd, 2004:
root not bracketed: f[2.22045e-016,0.932437] ->
[-3.323214e+018,-3.911669e+000]
Is there something additional I must do when using an interpolator
other than
LogLinear?
Thanks,
--
Robert Philipp
Synapse Financial Engineering
703.623.4063 (mobile)
703.573.0119 (fax)
[hidden email]
www.synapsefe.com
------------------------------------------------------------------------------
The Palm PDK Hot Apps Program offers developers who use the
Plug-In Development Kit to bring their C/C++ apps to Palm for a share
of $1 Million in cash or HP Products. Visit us here for more details:
http://p.sf.net/sfu/dev2dev-palm_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users