From: SourceForge.net <no...@so...> - 2010-06-16 10:00:20
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Bugs item #3014862, was opened at 2010-06-11 16:43 Message generated for change (Comment added) made by amaggiulli You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3014862&group_id=12740 Please note that this message will contain a full copy of the comment thread, including the initial issue submission, for this request, not just the latest update. Category: None Group: None >Status: Closed >Resolution: Fixed Priority: 5 Private: No Submitted By: Andrea Maggiulli (amaggiulli) Assigned to: Nobody/Anonymous (nobody) Summary: Cannot Bootstrap Piecewise Curve Initial Comment: Hi , my EURIRS curve Values at 14/06/2010 are : 1M = 0,438 2M = 0,5440 3M = 0,7180 4M = 0,8030 5M = 0,8990 6M = 1,0010 7M = 1,0390 8M = 1,0890 9M = 1,1390 10M = 1,1800 11M = 1,2200 1Y = 1.0690 2Y = 1,2610 I cannot bootstrap this curve , have error root bracketed error for point 12 ( quote goes down form 1,22 to 1.0690 ) . Im using Piecewise curve for pricing a swap. How can i fix it ? Ty ---------------------------------------------------------------------- >Comment By: Andrea Maggiulli (amaggiulli) Date: 2010-06-16 12:00 Message: Fixed. Have to set : QL_NEGATIVE_RATES ---------------------------------------------------------------------- You can respond by visiting: https://sourceforge.net/tracker/?func=detail&atid=112740&aid=3014862&group_id=12740 |