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From: Ben W. <ben...@ma...> - 2023-04-27 10:12:15
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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] |