Re: [Quantlib-users] dual bootstrap question

[MN <mag...@ny...>]

I agree with you. Nevertheless, it would be useful to have some assurance
for non crossing tenors independent of the selected interpolation model. 

 

 

From: Ferdinando Ametrano [mailto:na...@am...] 
Sent: Thursday, March 21, 2013 4:40 PM
To: MN
Cc: QuantLib Mailing Lists
Subject: Re: [Quantlib-users] dual bootstrap question

 

On Thu, Mar 21, 2013 at 4:17 PM, MN < <mailto:mag...@ny...>
mag...@ny...> wrote:

Ok, however, in my experience it may happen for some interpolation models
where oscillation can cause problems in the long end.

 

which is a loud and clear warning IMO about the need to switch to a reliable
interpolation method, i.e. monotonic interpolation