Posted by
Simon Ibbotson-2 on
URL: http://quantlib.414.s1.nabble.com/Cannot-bootstrap-a-yieldcurve-tp8530p8543.html
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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