I am trying calibrate multi curve with a discount curve, basis and 6M swap curve. I have done this successfully using just swaps, but I now want to use Euribor futures. When using Euribor futures I get “Failed to converge in backtracking, even after a Jacobian recalculation”.
I’ve redone with very simple example that only has a couple of entries for the three curves, up to 2 years. The configuration works if I include one Euribor future (ERU3), but fails if I include the next one (ERZ3) being unable to converge. The values in the quotes file are from Bloomberg, so I believe are realistic.
It seems I cannot upload zip with simple example, but here are the files used to configure. Is there anything that is obviously wrong? (Btw, I realise Euribor futures are 3 months, and I am using quotes to build 6M curve. This is intentional, but perhaps the quotes need to be adjusted? I tried adding a shift based on convexity values which I believed were realistic but still got the failure)
calibrations file contents:
Curve Name,Label,Symbology,Ticker,Field Name,Type,Convention,Time,Date,Min Gap,Clash Action,Spread
Valuation Date,Symbology,Ticker,Field Name,Value
Group Name,Curve Type,Reference,Curve Name
Curve Name,Value Type,Day Count,Interpolator,Left Extrapolator,Right Extrapolator
The code that runs this is very closed based on CalibrationEur3CheckExample given with Strata-mean.
Please let me know if I can provide more details (shame I cannot upload a zip)