[Quantlib-users] Piecewise Monotone Convex interpolation

[Alix L. <ali...@gm...>]

Hi QL-community,

I am observing a drop in the Euribor 6M curve generated with the enhanced
version of the Hagan West interpolation implemented in QuantLib. The drop
happens when FRAs instruments are inserted in the bootstrapping.

While I was investigating the cause of this kink, I tried to play with the
2 extra parameters, quadraticity and monotonicity, and noticed that if I
set abnormal values to these parameters (both negative for example), my
code does not throw any exception (while the implementation of the class
convexmonotoneinterpolation.hpp suggests the code should fail around L201).

I can't figure out what is happening:
- is my code correct given that no exception is thrown?
- Has anyone already experienced this behavior and how do they fix it?

I have attached my C++ code.

Thanks,

Alix