From: Luigi B. <lui...@gm...> - 2011-04-09 11:25:15
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On Apr 8, 2011, at 10:32 PM, Irakli Machabeli wrote: > Picture is better than thousand words so attached is the curve > fitted via QL > convex monotone (PiecewiseYieldCurve<ForwardRate ,ConvexMonotone>) vs > bloomberg for the same settle date, same instruments and same > convexity > adjustments on futures. > > At 4 year period fitting transition from futures to swap and curve > has weird > shape. I tried to add couple of futures closer to 4Y point but that > does not > help. > > Question probably goes to Luigi, what am I missing , is there extra > setting > to preserve the the sign of the second derivative? Ferdinando is the curve expert here. Any suggestions? Luigi |