Re: Rate Inputs to a piecewise Yield Curve

Posted by Guowen Han on Jul 30, 2009; 9:33pm
URL: http://quantlib.414.s1.nabble.com/Rate-Inputs-to-a-piecewise-Yield-Curve-tp7711p7716.html


I guess this is because QuantLib does not allow negative forward rate.
The rates are not consistent for deposit rates, futures rates, and swap rates  in the 1 year to 3 (maybe 5) year range, which could cause the implied forward rate negative.

I wish this help a little bit.

Thanks,

GL_QL <[hidden email]> 07/29/2009 09:31 AM

To [hidden email] cc Subject [Quantlib-users]  Rate Inputs to a piecewise Yield Curve

Hi all,

it often happens that a specified rate (of a deposit, future or swap) will
create an error when bootstrapping the yield curve (with an error log file =
qlPiecewiseYieldCurveData - 1st iteration: could not bootstrap the 4th
instrument, maturity August 7th, 2009: root not bracketed:
f[2.22045e-016,0.998945] -> [-2.315622e+017,-2.857143e-003])

Can someone explain to me where it comes from ? I don't remember having any
mathematical condition bootstrapping a yield curve manually.

Thanks

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