[Quantlib-users] Rate Curve Boostrapping Error using QLib XL

[Mitul P. <mit...@gm...>]

Hi,

I am a relatively new user to QLib XL. I am getting the following error
when trying to bootstrap a rate curve as per the attached spreadsheet
(cells E83 to E105).

'qlPiecewiseYieldCurveData - 1st iteration: failed at 12th alive
instrument, maturity January 8th, 2018, reference date January 6th, 2010:
root not bracketed: f[0.780492,0.866129] -> [9.956026e-004,1.327038e-002]'


The error seems to be caused by the 8y swap - removing that item from the
curve construction does indeed get around this error.

I have read that it could be caused by the Loglinear interpolation, but
changing to Linear did not change the outcome in this example. Also the
error obtained is from an old version of Quantlib XL, so am not sure if the
issue is resolved by a later version. Would be grateful for any guidance on
this issue.

Many thanks,

Mitul