[Quantlib-users] 1st iteration: failed at 1st alive instrument

[Ben W. <ben...@ma...>]

I know that this topic has come up before. In this case, there is nothing specifically wrong with the code – the same bit of code works for 350+ CDS curves. 

 

This issues is that the CASINO GUICHARDPERRACHON looks like it is about to default. The 6m CDS spread is 11659. The root solver is failing. 

 

My question is… is there anything that could be done to control the root solver in this case? i.e.  adjust the tolerance or some other work around?

 

Date      Ticker    ShortName                                                                  RedCode              Tier                      Ccy        DocClause          Spread6m          Spread1y              Spread2y            Spread3y            Spread4y            Spread5y              Spread7y            Spread10y

2023-04-24        GROUPE             CASINO GUICHARDPERRACHON FG554O              SNRFOR              EUR       MM14                1.16596253              1.22492036        1.06136462        0.98585902        0.93722387              0.90058129        0.84189616        0.78298615

 

1st iteration: failed at 1st alive instrument, pillar December 20th, 2023, maturity December 20th, 2023, reference date April 26th, 2023: root not bracketed: f[2.22045e-16,1] -> [1.165963e+00,3.797374e-01]