root not bracketed

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root not bracketed

Alexander Zvyagin
Dear all,

I am having troubles with "root not bracketed" error during the curve
construction. The code was working fine for a while, but when I tried to
use it on a new data set, I got the troubles. The code example which
demnstrates the problem is attached. The curve is constructed well with
two instruments with matirities (1W,15Y) and the error occures when
(1W,20Y) instruments are used.

What could be wrong?

Many thanks in advance!
Alexander

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Re: root not bracketed

Luigi Ballabio
Hi,
    1.132% needs to be written as 0.01132.  1.132 is a rate of 113.2%.  The same goes for the others.

Luigi


On Thu, Jun 15, 2017 at 3:53 AM Alexander <[hidden email]> wrote:
Dear all,

I am having troubles with "root not bracketed" error during the curve
construction. The code was working fine for a while, but when I tried to
use it on a new data set, I got the troubles. The code example which
demnstrates the problem is attached. The curve is constructed well with
two instruments with matirities (1W,15Y) and the error occures when
(1W,20Y) instruments are used.

What could be wrong?

Many thanks in advance!
Alexander
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engaging tech sites, Slashdot.org! http://sdm.link/slashdot_______________________________________________
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