Matlab Dual Curve Bootstrapping with negative swap rate

2 views (last 30 days)
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)

Answers (0)

Categories

Find more on MATLAB in Help Center and File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!