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

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

Hi Simone,

Thanks for your plot!

I confirm I don't see anything wrong... if you manage to paste here a
snippet of the incriminated code (with the reference dates) I'm going to
give it a go with my Bloomberg terminal data.

Have a nice evening.

Il giorno mar 21 set 2021 alle ore 14:23 Simone Caenazzo <
Sim...@ri...> ha scritto:

> Hi Ponram,
>
> Thanks - indeed, quote units is one of those things that immediately comes
> to mind.
>
> However I don't think this is the problem here - if the futures or swap
> RateHelpers were wrongly setup, the code would not work with the deposit
> rate either.
>
>  Additionally, I have played around with data from different valuation
> dates - very weirdly, there are dates in which the calibration seems to
> work without the deposit rate too.
>
> Could there be combinations of quotes that, albeit valid, would cause
> issues within the solver, or the interpolator, of the bootstrapper?
>
> Thanks and best regards,
>
> Simone
>
> -----Original Message-----
> From: PONRAM GOPALAKRISHNAN <po...@gm...>
> Sent: 21 September 2021 13:14
> To: Simone Caenazzo <Sim...@ri...>
> Cc: Giuseppe Trapani <tr...@gm...>;
> qua...@li...
> Subject: Re: [Quantlib-users] Help with "root not bracketed" error when
> bootstrapping curve without deposit/fixing rate
>
> Hi,
>
> I recently encountered this issue when bootstrapping with bond price
> quotes. I initially had my prices assuming $1 as the face value. I had no
> issues after changing it to $100 face value. You can try adjusting your
> price quotes and see if it helps.
>
> - Ponram
>
>
>
> > On Sep 21, 2021, at 4:08 AM, Simone Caenazzo <
> Sim...@ri...> wrote:
> >
>
>

-- 
*Giuseppe Trapani*