Posted by
MonkeyMan-3 on
Aug 04, 2010; 1:19am
URL: http://quantlib.414.s1.nabble.com/Error-when-using-a-Cubic-interpolator-for-PiecewiseYieldCurve-tp7607p7612.html
MonkeyMan <feersum_monkey <at> yahoo.com> writes:
MonkeyMan <feersum_monkey <at> yahoo.com> writes:
For what it's worth, here is the data I'm using (not the example data):
Today: Sunday, January 4th, 2004
Settlement date: Wednesday, January 7th, 2004
deposit: sw 0.0108375
deposit: 2w 0.0109125
deposit: 1m 0.0112
deposit: 2m 0.0113
deposit: 3m 0.0115
deposit: 6m 0.012275
deposit: 9m 0.0135
deposit: 1y 0.0151
future: 2004-03-17 98.765
future: 2004-06-16 98.525
future: 2004-09-15 98.145
future: 2004-12-15 97.695
future: 2005-03-16 97.26
future: 2005-06-15 96.855
future: 2005-09-21 96.51
future: 2005-12-21 96.21
swap: 10y 4.758
swap: 12y 4.973
swap: 15y 5.21
swap: 2y 2.245
swap: 20y 5.405
swap: 3y 2.875
swap: 30y 5.484
swap: 4y 3.36
swap: 5y 3.755
swap: 6y 4.045
swap: 7y 4.268
swap: 8y 4.46
swap: 9y 4.622
Then I blow up on the first instrument when I try to price a
1yf2y swap with this error:
1st iteration: failed at 1st instrument, maturity January 14th, 2004,
reference date January 7th, 2004: root not bracketed:
f[2.22045e-16,1] ->[1.083750e-02,1.083750e-02]
For this instance I used the ConvexMonotone:
Real quadraticity = 0.3;
Real monotonicity = 0.7;
bool forcePositive = true;
ConvexMonotone monotone = ConvexMonotone(
quadraticity,
monotonicity,
forcePositive);
boost::shared_ptr<YieldTermStructure> termStructure(
new PiecewiseYieldCurve<Discount,ConvexMonotone>(
settlementDate,
depoFutSwapInstruments,
termStructureDayCounter,
tolerance,
monotone));
Note that my swap rates are pushed into the RateHelper out of order.
This is the order they come out of the database.
I assume that doesn't matter.
Is there some better way to do this? The parameters for the
ConvexMonotone are the defaults. I have tried using the Hagan
parameters, but that didn't help.
What do other people do to bootstrap their curves?
Am I missing something basic?
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