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From: Luigi B. <lui...@gm...> - 2018-02-13 16:47:29
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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 > > > > -- > Sent from: http://quantlib.10058.n7.nabble.com/quantlib-users-f3.html > > > ------------------------------------------------------------------------------ > Check out the vibrant tech community on one of the world's most > engaging tech sites, Slashdot.org! http://sdm.link/slashdot > _______________________________________________ > QuantLib-users mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-users > |