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

[Giuseppe T. <tr...@gm...>]

Hi Simone,

are you working on C++ or other languages? Can you please share the code
(the bare minimum of course)? I'm having a bit of trouble to imagine where
the problem can be BUT I can drop a couple of cents here (all coming from
my looooong experience with self procured bugs)

1) I see BSBxx are futures, why not using FuturesRateHelper? notice *the
constructor requires the price*, not the rate of the future.
2) Have you checked what rate you get for the front Deposit (the one you
are skipping) from your external library?

Have a nice day!

Il giorno mar 21 set 2021 alle ore 09:11 Simone Caenazzo <
Sim...@ri...> ha scritto:

> 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
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>


-- 
*Giuseppe Trapani*