From: stefano sampietro <stefano.sampietro@li...>  20100421 15:07:05

Hi, I have also worked with "Yield curve bootstrapping" file and I'm noticed a numerical instability of the function (with discount factor as output). The attached file contains real data and, as you can see, the function gives #NUM!. The problem comes from the red cells (3m and 9m deposits): I know they look like "strange" numbers, but they are real numbers... so my questions are: can quantlibXL functions handle this kind of (real) situation? Is it possible to increase the numerical robustness? P.S. Is the point the monotonicity of the discount factor curve? Thanks a lot Stefano  Initial Header  >From : "Ferdinando Ametrano" nando@... To : "Paolo Baroni" baronister@... Cc : quantlibusers@... Date : Wed, 21 Apr 2010 11:26:02 +0200 Subject : Re: [Quantlibusers] yield curve bootstrapping > Hi Paolo > > > I'm trying to understand how works the spreadsheet "Yield curve > > bootstrapping" and as first test I tried to calculate the discount factors > > of Depo rates. > > As you can see in the xls in attachment my > > df are slightly (but always) greater then the df calculated by qlxl. > > I use the formula df = 1/(1+Depo*(dd/360)). > > Can someone explain me where I wrong? > > you got wrong all dd but the first one and didn't take into account > the fact that all deposit but ON are "forward" deposit with respect to > today's date > > You missed the peculiar nature of ON and TN deposits, which apply from > today to tomorrow and from tomorrow to spot date respectively. TN is a > "forward" deposit: its discount is the product of the discount > generated by ON times its own discounting term 1/(1+Depo*(dd/360)). > > The same is for all other deposits which start from spot, not from > today. Their own discounting term 1/(1+Depo*(dd/360)) must be > multiplied for the discount at spot date > > Please find attached a workbook with fixed calculations. > > ciao  Nando > 