Cota, Luis
2017-02-28 14:21:09 UTC
I'm attempting to bootstrap a term structure using the qlPiecewiseYieldCurve function in QuantlibXL. I keep getting errors such as this one:
** qlYieldTSForwardRate - 1st iteration: failed at 7th alive instrument, pillar June 15th, 2017, maturity June 15th, 2017, reference date March 2nd, 2017: root not bracketed: f[0.961927,1.03397] -> [1.252676e+02,9.693099e+01] **
In this particular case the date period corresponds to the first futures instrument being used, which is EDH7. The other parameters as set are the following:
Max Futures 3
Fut Roll Days 3
DepoPriority AllDepos
Min Distance 3
iborIndex usd_3m_libor#0000
Error
ObjectID usd_3m_libor
FamilyName USD_Libor
Tenor 3M
FixingDays 2
Currency USD
Calendar UnitedStates::GovernmentBond
BDayConvention MF
EndOfMonth TRUE
DayCounter ACT/360
FwdCurve
Permanent TRUE
Trigger
Overwrite
Any help is very much appreciated.
-LC
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** qlYieldTSForwardRate - 1st iteration: failed at 7th alive instrument, pillar June 15th, 2017, maturity June 15th, 2017, reference date March 2nd, 2017: root not bracketed: f[0.961927,1.03397] -> [1.252676e+02,9.693099e+01] **
In this particular case the date period corresponds to the first futures instrument being used, which is EDH7. The other parameters as set are the following:
Max Futures 3
Fut Roll Days 3
DepoPriority AllDepos
Min Distance 3
iborIndex usd_3m_libor#0000
Error
ObjectID usd_3m_libor
FamilyName USD_Libor
Tenor 3M
FixingDays 2
Currency USD
Calendar UnitedStates::GovernmentBond
BDayConvention MF
EndOfMonth TRUE
DayCounter ACT/360
FwdCurve
Permanent TRUE
Trigger
Overwrite
Any help is very much appreciated.
-LC
________________________________
IMPORTANT: The information contained in this email and/or its attachments is confidential. If you are not the intended recipient, please notify the sender immediately by reply and immediately delete this message and all its attachments. Any review, use, reproduction, disclosure or dissemination of this message or any attachment by an unintended recipient is strictly prohibited. Neither this message nor any attachment is intended as or should be construed as an offer, solicitation or recommendation to buy or sell any security or other financial instrument. Neither the sender, his or her employer nor any of their respective affiliates makes any warranties as to the completeness or accuracy of any of the information contained herein or that this message or any of its attachments is free of viruses.