http://quantlib.414.s1.nabble.com/Cannot-bootstrap-a-yieldcurve-tp8530p8534.html
I will give that a try later. My boss says negative forward is not
> See if it works first - then worry about the rest of the library. It shouldn't matter much, the #define is specific for rates in yieldcurves.
>
> -----Original Message-----
> From: Leon Sit [mailto:
[hidden email]]
> Sent: 19 October 2010 16:02
> To: Simon Ibbotson
> Cc:
[hidden email]
> Subject: Re: [Quantlib-users] Cannot bootstrap a yieldcurve
>
> I noticed that issue too. However these are a set of real quote from
> market so I was hoping that I did not use quantlib right instead of
> data issue. What is the consequence of allowing negative forward rate
> for other parts of quantlib if I am only working with swap, futures,
> and equity derivatives?
>
> Thanks.
>
>
> On Tue, Oct 19, 2010 at 9:50 AM, Simon Ibbotson
> <
[hidden email]> wrote:
>> Sorry, all those figures should be divided by 10... e.g. 0.8% rather
>> than 8%.
>>
>> The same principle applies.
>>
>> -----Original Message-----
>> From: Simon Ibbotson
>> Sent: 19 October 2010 15:50
>> To: 'Leon Sit';
[hidden email]
>> Subject: RE: [Quantlib-users] Cannot bootstrap a yieldcurve
>>
>> I suspect that you're generating negative forward rates at the point
>> where the rate drops from 8% (11M cash) to 4.7% (1Y swap) and have not
>> enabled this as an option:- userconfig.hpp : uncomment out #define
>> QL_NEGATIVE_RATES.
>>
>> You've not provided enough code to see whether your curve has properly
>> defined the cash/swap transition.
>>
>> The curve does look rather unrealistic: 8% 11M cash then 4.71% 1Y swap,
>> followed by a 7% 2Y swap.
>>
>> Simon
>>
>>
>> -----Original Message-----
>> From: Leon Sit [mailto:
[hidden email]]
>> Sent: 19 October 2010 15:33
>> To:
[hidden email]
>> Subject: [Quantlib-users] Cannot bootstrap a yieldcurve
>>
>> Hi All:
>>
>> I am using the following set of rates to bootstrap a yieldcurve
>>
>> double[] rates = {
>> 0.0022438 ,
>> 0.0025469 ,
>> 0.0025688 ,
>> 0.0026156 ,
>> 0.0027969 ,
>> 0.0030375 ,
>> 0.0036906 ,
>> 0.0044063 ,
>> 0.0051125 ,
>> 0.0057 ,
>> 0.0062838 ,
>> 0.0068188 ,
>> 0.0074125 ,
>> 0.0080344 ,
>> 0.00471 ,
>> 0.007027 ,
>> 0.00991 ,
>> 0.01303 ,
>> 0.016065 ,
>> 0.018773 ,
>> 0.021 ,
>> 0.02282 ,
>> 0.0243 ,
>> 0.025525 ,
>> 0.0266 ,
>> 0.027458 ,
>> 0.02835 ,
>> 0.02889 ,
>> 0.02939 ,
>> 0.02988 ,
>> 0.0302 ,
>> 0.0305 ,
>> 0.03075 ,
>> 0.03096 ,
>> 0.031655 ,
>> 0.031923 ,
>> 0.03222 ,
>> 0.031975};
>>
>> string[] labels = {"ON",
>> "1w",
>> "2w",
>> "1m",
>> "2m",
>> "3m",
>> "4m",
>> "5m",
>> "6m",
>> "7m",
>> "8m",
>> "9m",
>> "10m",
>> "11m",
>> "1y",
>> "2y",
>> "3y",
>> "4y",
>> "5y",
>> "6y",
>> "7y",
>> "8y",
>> "9y",
>> "10y",
>> "11y",
>> "12y",
>> "13y",
>> "14y",
>> "15y",
>> "16y",
>> "17y",
>> "18y",
>> "19y",
>> "20y",
>> "25y",
>> "30y",
>> "40y",
>> "50y"};
>>
>> everything is fine until it iterates to the first swap quote. Does
>> anybody know what I might have missed?
>>
>> I am using the following yield curve class
>>
>> new PiecewiseYieldCurve<Discount, LogLinear>(
>> settlementDate, depositFutureSwapInstruments,
>> depositDayCounter, 10e-5));
>>
>> Thanks
>>
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