Matlab Dual Curve Bootstrapping with negative swap rate

3 次查看（过去 30 天）

Carmine 2017-10-20

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/362290-matlab-dual-curve-bootstrapping-with-negative-swap-rate

I'm trying to implement a dual curve bootstrapping basing on the following matlab link:

https://it.mathworks.com/help/fininst/create-dual-curves-for-eonia-and-euribor-yield-curve.html

Unfortunately my curve doesn't match the one I got from Murex and I think it's due to negative swap rate in the short term. The first three pillars are Deposit (Deposit O/N, Deposit T/N, Deposit S/N) then Swap (1 week to 4 week, 1 month to 23 and 1year to 30y and 35y 40y 50y 60y). When I try to use IRBootstrapOptions setting irbo = IRBootstrapOptions('LowerBound',-1); matlab returns

Error using IRBootstrapOptions (line 45) Error in optional parameter value inputs. Caused by: Error using IRBootstrapOptions (line 40) 'LowerBound' is not a recognized parameter. For a list of valid name-value pair arguments, see the documentation for this function. –

Can you please help me? In attached my OIS Curve from Murex (in case someone would have a look at the curve)