[Quantlib-users] Help with "root not bracketed" error when bootstrapping curve without deposit/fixing rate

[Simone C. <Sim...@ri...>]

Dear QuantLib user,

I am reaching out as I have encountered an error in QuantLib, and I was hoping someone could give me some help or pointers.

The error arises when trying to bootstrap a BSBY (Bloomberg Short-term Bank Yield) curve in QuantLib (version 1.17), using the PiecewiseYieldCurve object.

In particular, I am trying to construct the curve as a LIBOR-like curve, using:


  *   BSBY futures (BSB1 to BSB8, in Bloomberg parlance) - these are taken as EuroDollar RateHelpers;
  *   Synthetic BSBY swaps - taken as standard fix-for-float RateHelpers, with 6M, 30/360 Fixed leg and 3M, Act/360 Floating leg.


Note that I am NOT using the deposit rate for the front end of the curve - this is a requirement that I need to maintain.

Right now, QuantLib fails to calibrate the curve with a "root not bracketed" error on the very first future (BSB1), which as of today is the BSBZ21 instrument with expiry on 15-Dec-2021 and maturity on 15-Mar-2021.

However, if I add the BSBY3M deposit rate to the RateHelpers list, the curve calibrates fine and its Discount Factor and Forward rate plots are very reasonable.

Two additional thoughts:


  *   This successful experiment with the deposit rate makes me guess that there is nothing inherently wrong with the setup of the other futures' and swaps' RateHelpers per se;
  *   I can also successfully calibrate a curve with another external library without the deposit rate - which makes me think that it is not a "mathematical impossibility" to calibrate the curve with the quotes that I'm using.


I would be very grateful if anybody had clues or pointers as per what the problem could be when I try to remove the deposit rate.

Thank you very much in advance!

Best regards,

Simone