Re: [Quantlib-users] Python - Swaps - Piecewise Forward Interpolation

[Luigi B. <lui...@gm...>]

Apologies, I lost track of this post.  Did you make any progress?

Luigi


On Mon, Jan 15, 2018 at 9:28 AM TSchulz85 <tob...@gm...> wrote:

> Hi,
>
> I'm trying to bootstrap a curve on the forward rates with the
> MonotonicLogCubic interpolation.
>
> I've added the following line to piecewiseyieldcurve.i
>
> export_piecewise_curve(PiecewiseLogCubicForward,ForwardRate,MonotonicLogCubic);
>
> However I'm receiving the following error:
> RuntimeError: 1st iteration: failed at 7th alive instrument, pillar January
> 10th, 2020, maturity January 10th, 2020, reference date January 9th, 2018:
> root not bracketed: f[-1,1] -> [-1.690630e-002,-2.068603e-001]
>
> Running with the same helpers, etc. PiecewiseLogCubicDiscount, everything
> works perfectly fine.
>
> I've also tried Cubic:
> export_piecewise_curve(PiecewiseCubicForward,ForwardRate,Cubic);
> and get a different error:
> RuntimeError: 1st iteration: failed at 7th alive instrument, pillar January
> 10th, 2020, maturity January 10th, 2020, reference date January 9th, 2018:
> root not bracketed: f[-1,1] -> [-1.690630e-002,-2.068603e-001]
>
> How can I make the bootstraping on the forward rate work? (BackwardFlat and
> Linear are actually working fine).
>
>
> Thanks,
> Tobias
>
>
>
> --
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>
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