http://quantlib.414.s1.nabble.com/Cannot-bootstrap-a-yieldcurve-tp8530p8538.html
>
> Hi Nando,
>
> Nowhere does the OP state that the curve is for EUR, so it could have a 6M or even a 12M floating rate (not to mention 90D, 12W or 4W markets). However, it is likely (given the values) that it does include a 3M basis.
>
> Cheers,
> Simon
>
>
> -----Original Message-----
> From:
[hidden email] [mailto:
[hidden email]] On Behalf Of Ferdinando Ametrano
> Sent: 25 October 2010 11:56
> To: Simon Ibbotson
> Cc: Leon Sit;
[hidden email]
> Subject: Re: [Quantlib-users] Cannot bootstrap a yieldcurve
>
> 1Y swap is based on 3M euribor, so it's comparable with 3 months rate
>
> no way it's going to be in line with a 11M rate with the current
> market conditions.
>
> people keep bootstrapping one single curve with inhomogeneous rates,
> but it's not possible anymore.
>
> Attend the QuantLib forum for more details on this issue (or wait for
> the slides)
>
> ciao -- Nando
>
>
> On Tue, Oct 19, 2010 at 5:18 PM, Simon Ibbotson
> <
[hidden email]> wrote:
> > For reference, just because these quotes were seen in the market does not mean that they are liquid or even valid quotes!
> > Many banks only give out a live quote once a day (for Libor) and then update the other non-traded rates on an ad-hoc basis.
> >
> > 1Y swaps are not very liquid (in many currencies) as most banks hedge their positions with futures at the short end.
> >
> >
> > -----Original Message-----
> > From: Leon Sit [mailto:
[hidden email]]
> > Sent: 19 October 2010 16:14
> > To: Simon Ibbotson
> > Cc:
[hidden email]
> > Subject: Re: [Quantlib-users] Cannot bootstrap a yieldcurve
> >
> > I will give that a try later. My boss says negative forward is not
> > reasonable for our team :)
> >
> > Thanks a lot for the issue.
> >
> > Leon
> >
> >
> >
> > On Tue, Oct 19, 2010 at 10:05 AM, Simon Ibbotson
> > <
[hidden email]> wrote:
> >> 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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