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

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

Hi Luigi,

I will double-check which exact instantiation is used in the code – the other questions regarding Discount/ZR and interpolation are very good too, I will make those checks and come back to you.

Thanks again!

Best regards,

Simone

From: Luigi Ballabio <lui...@gm...>
Sent: 21 September 2021 13:37
To: Simone Caenazzo <Sim...@ri...>
Cc: PONRAM GOPALAKRISHNAN <po...@gm...>; qua...@li...
Subject: Re: [Quantlib-users] Help with "root not bracketed" error when bootstrapping curve without deposit/fixing rate

Hi,
    what instantiation of PiecewiseYieldCurve are you using? Does it work if you change from Discount to ZeroRate or viceversa? Or if you change interpolation?

Luigi


On Tue, Sep 21, 2021 at 2:25 PM Simone Caenazzo <Sim...@ri...<mailto:Sim...@ri...>> wrote:
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...<mailto:po...@gm...>>
Sent: 21 September 2021 13:14
To: Simone Caenazzo <Sim...@ri...<mailto:Sim...@ri...>>
Cc: Giuseppe Trapani <tr...@gm...<mailto:tr...@gm...>>; qua...@li...<mailto: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...<mailto:Sim...@ri...>> wrote:
>



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