Re: Bootstrapping US Treasury Curve with fake zero coupon bonds

Posted by pdrubetskoy on
URL: http://quantlib.414.s1.nabble.com/Bootstrapping-US-Treasury-Curve-with-fake-zero-coupon-bonds-tp8072p8077.html

Thanks, Luigi.
This particular problem was actually caused by me passing 0 for bond redemptions by mistake, sorry!

Luigi Ballabio wrote

On Tue, 2009-10-20 at 11:51 -0700, pdrubetskoy wrote:
> I am also having similar issues bootstrapping a treasury curve with
> QuantLib. Has there been any resolution to this thread?

Not that I know of.  However, my guess is that unconstrained Cubic
interpolation oscillates too much and the bootstrapper cannot find a
solution; other interpolations work.

Would you have time to debug the problem?

Luigi


--

I'd never join any club that would have the likes of me as a member.
-- Groucho Marx



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