QuantLibXL problem: qlRateHelperSelection with qlFixedRateBondHelpers

[Marek Ozana]

Hi,

I would like run bootstrap zero coupon yield curve using only bonds as input. I prepared list of FixedRateBondHelpers and then tried to create RateHelperSelection (following the example from YieldCurveBootsrapping.xls demo).
Unfortunately I am getting only column with #N/A as result of qlRateHelperSelection. Please find attached XLS file with the example.
Has anybody done bootstrap with FixedRateBondHelpers? Could you please post an example XLS file?

  Thank you for your help

    Marek Ozana

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[Ferdinando Ametrano]

Hi Marek

> I would like run bootstrap zero coupon yield curve using only bonds as
> input. I prepared list of FixedRateBondHelpers and then tried to create
> RateHelperSelection (following the example from YieldCurveBootsrapping.xls
> demo).
This is fine

> Unfortunately I am getting only column with #N/A as result of
> qlRateHelperSelection.
why do you go through qlRateHelperSelection?
qlRateHelperSelection is used to discriminate within redundant
securities, as it happens when using deposits, futures and swaps. This
is not the case with your bonds, whose maturities are fixed, so any
selection could be done once forever and needs not to be updated on a
daily basis

I revisited your XLS file and made it work. I've used the forthcoming
QuantLibXL 0.9.6, but you probably only have to change column T if
any.

ciao -- Nando


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