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Negative price with Forward Rates

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v17

Negative price with Forward Rates

Hi Everyone,

I have following piece of code which gives Exception "negative time (-0.5) given"

vector <Real> &forwardRates;
const int size = liborRates.size();
vector<Date> liborDates(liborTenors.size());
for (int i = 0; i < size; i++)
{
curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
liborDates[i] = curDate;
}
yieldCurve = shared_ptr<YieldTermStructure>(new InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc, ycDef.cal));
yieldCurve->enableExtrapolation();

size = liborTenors.size();
forwardRates.clear();
forwardRates.resize(size);
try
{
forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate + liborTenors[i] , ycDef.dc, Compounded, Annual);
}
catch(QuantLib::Error& e)
{
cout << e.what() << endl;
throw;
}

liborDates has below values -

July 20th, 2014
January 20th, 2015
January 20th, 2016
January 20th, 2017
January 20th, 2018
January 20th, 2019
January 20th, 2020
January 20th, 2021
January 20th, 2022
January 20th, 2023
January 20th, 2024
January 20th, 2029

while liborRates is
8.53854
8.40083
8.39311
8.44955
8.56089
8.65359
8.68869
8.80096
8.9133
8.74109
8.66277
8.98536

eval date is January 20th, 2014

What is causing negative time exception?

Thanks,
Varun

Luigi Ballabio

Re: Negative price with Forward Rates

You should pass the evaluation date as the first date in liborDates.
You'll need a corresponding extra element in liborRates; just
replicate the first you have for constant rates from today to the
first actual Libor date.

Luigi

On Mon, Jan 20, 2014 at 8:12 AM, v17 <[hidden email]> wrote:

> Hi Everyone,
>
> I have following piece of code which gives Exception "negative time (-0.5)
> given"
>
> vector <Real> &forwardRates;
> const int size = liborRates.size();
> vector<Date> liborDates(liborTenors.size());
> for (int i = 0; i < size; i++)
> {
> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
> liborDates[i] = curDate;
> }
> yieldCurve = shared_ptr<YieldTermStructure>(new
> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
> ycDef.cal));
> yieldCurve->enableExtrapolation();
>
> size = liborTenors.size();
> forwardRates.clear();
> forwardRates.resize(size);
> try
> {
> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
> liborTenors[i] , ycDef.dc, Compounded, Annual);
> }
> catch(QuantLib::Error& e)
> {
> cout << e.what() << endl;
> throw;
> }
>
> liborDates has below values -
>
> July 20th, 2014
> January 20th, 2015
> January 20th, 2016
> January 20th, 2017
> January 20th, 2018
> January 20th, 2019
> January 20th, 2020
> January 20th, 2021
> January 20th, 2022
> January 20th, 2023
> January 20th, 2024
> January 20th, 2029
>
> while liborRates is
> 8.53854
> 8.40083
> 8.39311
> 8.44955
> 8.56089
> 8.65359
> 8.68869
> 8.80096
> 8.9133
> 8.74109
> 8.66277
> 8.98536
>
> eval date is January 20th, 2014
>
> What is causing negative time exception?
>
> Thanks,
> Varun
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
> Learn Why More Businesses Are Choosing CenturyLink Cloud For
> Critical Workloads, Development Environments & Everything In Between.
> Get a Quote or Start a Free Trial Today.
> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
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Learn Why More Businesses Are Choosing CenturyLink Cloud For
Critical Workloads, Development Environments & Everything In Between.
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v17

Re: Negative price with Forward Rates

Hi Luigi,

I passed evaluation date as the first date in liborDates. Also added corresponding rate in liborRates. But now it gives exception - "LogInterpolation primitive not implemented"

Below are new values -

liborDates -

January 24th, 2014

July 24th, 2014

January 24th, 2015

January 24th, 2016

January 24th, 2017

January 24th, 2018

January 24th, 2019

January 24th, 2020

January 24th, 2021

January 24th, 2022

January 24th, 2023

January 24th, 2024

January 24th, 2029

liborRates -

8.4

8.4955

8.36907

8.38416

8.47267

8.62786

8.69832

8.71107

8.85289

8.99607

8.80085

8.7099

9.00594

Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?

Thanks in advance!

On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio <[hidden email]> wrote:

On Mon, Jan 20, 2014 at 8:12 AM, v17 <[hidden email]> wrote:

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio

------------------------------------------------------------------------------
CenturyLink Cloud: The Leader in Enterprise Cloud Services.
Learn Why More Businesses Are Choosing CenturyLink Cloud For
Critical Workloads, Development Environments & Everything In Between.
Get a Quote or Start a Free Trial Today.
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Luigi Ballabio

Re: Negative price with Forward Rates

Yes. the curve is trying to integrate the forwards to get the
discounts, but the LogLinear interpolator doesn't provide a formula
for that. You'll have to choose another interpolation.

Luigi

On Mon, Jan 27, 2014 at 5:50 AM, varun yadav <[hidden email]> wrote:

> Hi Luigi,
>
> I passed evaluation date as the first date in liborDates. Also added
> corresponding rate in liborRates. But now it gives exception -
> "LogInterpolation primitive not implemented"
>
> Below are new values -
>
> liborDates -
>
> January 24th, 2014
> July 24th, 2014
> January 24th, 2015
> January 24th, 2016
> January 24th, 2017
> January 24th, 2018
> January 24th, 2019
> January 24th, 2020
> January 24th, 2021
> January 24th, 2022
> January 24th, 2023
> January 24th, 2024
> January 24th, 2029
>
> liborRates -
>
> 8.4
> 8.4955
> 8.36907
> 8.38416
> 8.47267
> 8.62786
> 8.69832
> 8.71107
> 8.85289
> 8.99607
> 8.80085
> 8.7099
> 9.00594
>
> Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?
>
> Thanks in advance!
>
>
> On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio
> <[hidden email]> wrote:
> You should pass the evaluation date as the first date in liborDates.
> You'll need a corresponding extra element in liborRates; just
> replicate the first you have for constant rates from today to the
> first actual Libor date.
>
> Luigi
>
> On Mon, Jan 20, 2014 at 8:12 AM, v17 <[hidden email]> wrote:
>> Hi Everyone,
>>
>> I have following piece of code which gives Exception "negative time (-0.5)
>> given"
>>
>> vector <Real> &forwardRates;
>> const int size = liborRates.size();
>> vector<Date> liborDates(liborTenors.size());
>> for (int i = 0; i < size; i++)
>> {
>> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
>> liborDates[i] = curDate;
>> }
>> yieldCurve = shared_ptr<YieldTermStructure>(new
>> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
>> ycDef.cal));
>> yieldCurve->enableExtrapolation();
>>
>> size = liborTenors.size();
>> forwardRates.clear();
>> forwardRates.resize(size);
>> try
>> {
>> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
>> liborTenors[i] , ycDef.dc, Compounded, Annual);
>> }
>> catch(QuantLib::Error& e)
>> {
>> cout << e.what() << endl;
>> throw;
>> }
>>
>> liborDates has below values -
>>
>> July 20th, 2014
>> January 20th, 2015
>> January 20th, 2016
>> January 20th, 2017
>> January 20th, 2018
>> January 20th, 2019
>> January 20th, 2020
>> January 20th, 2021
>> January 20th, 2022
>> January 20th, 2023
>> January 20th, 2024
>> January 20th, 2029
>>
>> while liborRates is
>> 8.53854
>> 8.40083
>> 8.39311
>> 8.44955
>> 8.56089
>> 8.65359
>> 8.68869
>> 8.80096
>> 8.9133
>> 8.74109
>> 8.66277
>> 8.98536
>>
>> eval date is January 20th, 2014
>>
>> What is causing negative time exception?
>>
>> Thanks,
>> Varun
>>
>>
>>
>> --
>> View this message in context:
>> http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>>
>> ------------------------------------------------------------------------------
>> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
>> Learn Why More Businesses Are Choosing CenturyLink Cloud For
>> Critical Workloads, Development Environments & Everything In Between.
>> Get a Quote or Start a Free Trial Today.
>>
>> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio
>>
>
>

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
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security intelligence. It gives you real-time visual feedback on key
security issues and trends. Skip the complicated setup - simply import
a virtual appliance and go from zero to informed in seconds.
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_______________________________________________
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Peter Caspers-4

Re: Negative price with Forward Rates

Luigi, just out of curiosity, in ForwardRateStructure there seems to
be a general purpose implementation to get the zero yield by
integration over the forwards. Wouldn't the situation here be a use
case for exactly this (i.e. catch the exception and invoke the base
class method instead) ?
best, Peter

On 28 January 2014 12:37, Luigi Ballabio <[hidden email]> wrote:

> Yes. the curve is trying to integrate the forwards to get the
> discounts, but the LogLinear interpolator doesn't provide a formula
> for that. You'll have to choose another interpolation.
>
> Luigi
>
> On Mon, Jan 27, 2014 at 5:50 AM, varun yadav <[hidden email]> wrote:
>> Hi Luigi,
>>
>> I passed evaluation date as the first date in liborDates. Also added
>> corresponding rate in liborRates. But now it gives exception -
>> "LogInterpolation primitive not implemented"
>>
>> Below are new values -
>>
>> liborDates -
>>
>> January 24th, 2014
>> July 24th, 2014
>> January 24th, 2015
>> January 24th, 2016
>> January 24th, 2017
>> January 24th, 2018
>> January 24th, 2019
>> January 24th, 2020
>> January 24th, 2021
>> January 24th, 2022
>> January 24th, 2023
>> January 24th, 2024
>> January 24th, 2029
>>
>> liborRates -
>>
>> 8.4
>> 8.4955
>> 8.36907
>> 8.38416
>> 8.47267
>> 8.62786
>> 8.69832
>> 8.71107
>> 8.85289
>> 8.99607
>> 8.80085
>> 8.7099
>> 9.00594
>>
>> Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?
>>
>> Thanks in advance!
>>
>>
>> On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio
>> <[hidden email]> wrote:
>> You should pass the evaluation date as the first date in liborDates.
>> You'll need a corresponding extra element in liborRates; just
>> replicate the first you have for constant rates from today to the
>> first actual Libor date.
>>
>> Luigi
>>
>> On Mon, Jan 20, 2014 at 8:12 AM, v17 <[hidden email]> wrote:
>>> Hi Everyone,
>>>
>>> I have following piece of code which gives Exception "negative time (-0.5)
>>> given"
>>>
>>> vector <Real> &forwardRates;
>>> const int size = liborRates.size();
>>> vector<Date> liborDates(liborTenors.size());
>>> for (int i = 0; i < size; i++)
>>> {
>>> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
>>> liborDates[i] = curDate;
>>> }
>>> yieldCurve = shared_ptr<YieldTermStructure>(new
>>> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
>>> ycDef.cal));
>>> yieldCurve->enableExtrapolation();
>>>
>>> size = liborTenors.size();
>>> forwardRates.clear();
>>> forwardRates.resize(size);
>>> try
>>> {
>>> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
>>> liborTenors[i] , ycDef.dc, Compounded, Annual);
>>> }
>>> catch(QuantLib::Error& e)
>>> {
>>> cout << e.what() << endl;
>>> throw;
>>> }
>>>
>>> liborDates has below values -
>>>
>>> July 20th, 2014
>>> January 20th, 2015
>>> January 20th, 2016
>>> January 20th, 2017
>>> January 20th, 2018
>>> January 20th, 2019
>>> January 20th, 2020
>>> January 20th, 2021
>>> January 20th, 2022
>>> January 20th, 2023
>>> January 20th, 2024
>>> January 20th, 2029
>>>
>>> while liborRates is
>>> 8.53854
>>> 8.40083
>>> 8.39311
>>> 8.44955
>>> 8.56089
>>> 8.65359
>>> 8.68869
>>> 8.80096
>>> 8.9133
>>> 8.74109
>>> 8.66277
>>> 8.98536
>>>
>>> eval date is January 20th, 2014
>>>
>>> What is causing negative time exception?
>>>
>>> Thanks,
>>> Varun
>>>
>>>
>>>
>>> --
>>> View this message in context:
>>> http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
>>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
>>> Learn Why More Businesses Are Choosing CenturyLink Cloud For
>>> Critical Workloads, Development Environments & Everything In Between.
>>> Get a Quote or Start a Free Trial Today.
>>>
>>> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> [hidden email]
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>>
>>
>> --
>> <https://implementingquantlib.blogspot.com>
>> <https://twitter.com/lballabio
>>>
>>
>>
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
>
> ------------------------------------------------------------------------------
> WatchGuard Dimension instantly turns raw network data into actionable
> security intelligence. It gives you real-time visual feedback on key
> security issues and trends. Skip the complicated setup - simply import
> a virtual appliance and go from zero to informed in seconds.
> http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

------------------------------------------------------------------------------
WatchGuard Dimension instantly turns raw network data into actionable
security intelligence. It gives you real-time visual feedback on key
security issues and trends. Skip the complicated setup - simply import
a virtual appliance and go from zero to informed in seconds.
http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk
_______________________________________________
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Luigi Ballabio

Re: Negative price with Forward Rates

Yes, possibly. In that case, we'd have to make the change in
InterpolatedForwardCurve<T>::zeroYieldImpl. But since we don't have
different exception types, we'd have to catch the exception and check
the error message it contains to decide whether to switch to the
base-class method (because if it's a different error, we'd want to let
it bubble up to client code). It wouldn't look very pretty :)
Another alternative would be to implement the numerical integration in
the LogLinear interpolation. I'm not sure that I like a situation in
which some curves are reasonably fast and others are much slower
depending on the interpolation method. Sure, the current situation is
that some interpolations don't work, so it might be an improvement
anyway...

(Oh, and a final note: while it makes sense to use log-linear with
discounts, because they're given by exp(-rt), I'm not sure that it
makes sense to use it with zero and forward rates.)

Luigi

On Tue, Jan 28, 2014 at 1:21 PM, Peter Caspers <[hidden email]> wrote:

> Luigi, just out of curiosity, in ForwardRateStructure there seems to
> be a general purpose implementation to get the zero yield by
> integration over the forwards. Wouldn't the situation here be a use
> case for exactly this (i.e. catch the exception and invoke the base
> class method instead) ?
> best, Peter
>
> On 28 January 2014 12:37, Luigi Ballabio <[hidden email]> wrote:
>> Yes. the curve is trying to integrate the forwards to get the
>> discounts, but the LogLinear interpolator doesn't provide a formula
>> for that. You'll have to choose another interpolation.
>>
>> Luigi
>>
>> On Mon, Jan 27, 2014 at 5:50 AM, varun yadav <[hidden email]> wrote:
>>> Hi Luigi,
>>>
>>> I passed evaluation date as the first date in liborDates. Also added
>>> corresponding rate in liborRates. But now it gives exception -
>>> "LogInterpolation primitive not implemented"
>>>
>>> Below are new values -
>>>
>>> liborDates -
>>>
>>> January 24th, 2014
>>> July 24th, 2014
>>> January 24th, 2015
>>> January 24th, 2016
>>> January 24th, 2017
>>> January 24th, 2018
>>> January 24th, 2019
>>> January 24th, 2020
>>> January 24th, 2021
>>> January 24th, 2022
>>> January 24th, 2023
>>> January 24th, 2024
>>> January 24th, 2029
>>>
>>> liborRates -
>>>
>>> 8.4
>>> 8.4955
>>> 8.36907
>>> 8.38416
>>> 8.47267
>>> 8.62786
>>> 8.69832
>>> 8.71107
>>> 8.85289
>>> 8.99607
>>> 8.80085
>>> 8.7099
>>> 9.00594
>>>
>>> Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?
>>>
>>> Thanks in advance!
>>>
>>>
>>> On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio
>>> <[hidden email]> wrote:
>>> You should pass the evaluation date as the first date in liborDates.
>>> You'll need a corresponding extra element in liborRates; just
>>> replicate the first you have for constant rates from today to the
>>> first actual Libor date.
>>>
>>> Luigi
>>>
>>> On Mon, Jan 20, 2014 at 8:12 AM, v17 <[hidden email]> wrote:
>>>> Hi Everyone,
>>>>
>>>> I have following piece of code which gives Exception "negative time (-0.5)
>>>> given"
>>>>
>>>> vector <Real> &forwardRates;
>>>> const int size = liborRates.size();
>>>> vector<Date> liborDates(liborTenors.size());
>>>> for (int i = 0; i < size; i++)
>>>> {
>>>> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
>>>> liborDates[i] = curDate;
>>>> }
>>>> yieldCurve = shared_ptr<YieldTermStructure>(new
>>>> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
>>>> ycDef.cal));
>>>> yieldCurve->enableExtrapolation();
>>>>
>>>> size = liborTenors.size();
>>>> forwardRates.clear();
>>>> forwardRates.resize(size);
>>>> try
>>>> {
>>>> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
>>>> liborTenors[i] , ycDef.dc, Compounded, Annual);
>>>> }
>>>> catch(QuantLib::Error& e)
>>>> {
>>>> cout << e.what() << endl;
>>>> throw;
>>>> }
>>>>
>>>> liborDates has below values -
>>>>
>>>> July 20th, 2014
>>>> January 20th, 2015
>>>> January 20th, 2016
>>>> January 20th, 2017
>>>> January 20th, 2018
>>>> January 20th, 2019
>>>> January 20th, 2020
>>>> January 20th, 2021
>>>> January 20th, 2022
>>>> January 20th, 2023
>>>> January 20th, 2024
>>>> January 20th, 2029
>>>>
>>>> while liborRates is
>>>> 8.53854
>>>> 8.40083
>>>> 8.39311
>>>> 8.44955
>>>> 8.56089
>>>> 8.65359
>>>> 8.68869
>>>> 8.80096
>>>> 8.9133
>>>> 8.74109
>>>> 8.66277
>>>> 8.98536
>>>>
>>>> eval date is January 20th, 2014
>>>>
>>>> What is causing negative time exception?
>>>>
>>>> Thanks,
>>>> Varun
>>>>
>>>>
>>>>
>>>> --
>>>> View this message in context:
>>>> http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
>>>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>>>
>>>>
>>>> ------------------------------------------------------------------------------
>>>> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
>>>> Learn Why More Businesses Are Choosing CenturyLink Cloud For
>>>> Critical Workloads, Development Environments & Everything In Between.
>>>> Get a Quote or Start a Free Trial Today.
>>>>
>>>> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
>>>> _______________________________________________
>>>> QuantLib-dev mailing list
>>>> [hidden email]
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>>
>>>
>>>
>>> --
>>> <https://implementingquantlib.blogspot.com>
>>> <https://twitter.com/lballabio
>>>>
>>>
>>>
>>
>>
>>
>> --
>> <https://implementingquantlib.blogspot.com>
>> <https://twitter.com/lballabio>
>>
>> ------------------------------------------------------------------------------
>> WatchGuard Dimension instantly turns raw network data into actionable
>> security intelligence. It gives you real-time visual feedback on key
>> security issues and trends. Skip the complicated setup - simply import
>> a virtual appliance and go from zero to informed in seconds.
>> http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk
>> _______________________________________________
>> QuantLib-dev mailing list
>> [hidden email]
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev

--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>

------------------------------------------------------------------------------
WatchGuard Dimension instantly turns raw network data into actionable
security intelligence. It gives you real-time visual feedback on key
security issues and trends. Skip the complicated setup - simply import
a virtual appliance and go from zero to informed in seconds.
http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

Peter Caspers-4

Re: Negative price with Forward Rates

thanks, yes I agree, this is more a design question than of real
practical interest. The log-linear interpolation in zeroyield is very
briefly discussed in the Hagan / West paper on yield curve
construction, playing in the same league as linear in zeroyield (which
is yet very popular I think) or linear in discount. Log-linear in
forwards is not even mentioned there, so probably we should not make
that work in QuantLib either :-)

On 1 February 2014 16:47, Luigi Ballabio <[hidden email]> wrote:

> Yes, possibly. In that case, we'd have to make the change in
> InterpolatedForwardCurve<T>::zeroYieldImpl. But since we don't have
> different exception types, we'd have to catch the exception and check
> the error message it contains to decide whether to switch to the
> base-class method (because if it's a different error, we'd want to let
> it bubble up to client code). It wouldn't look very pretty :)
> Another alternative would be to implement the numerical integration in
> the LogLinear interpolation. I'm not sure that I like a situation in
> which some curves are reasonably fast and others are much slower
> depending on the interpolation method. Sure, the current situation is
> that some interpolations don't work, so it might be an improvement
> anyway...
>
> (Oh, and a final note: while it makes sense to use log-linear with
> discounts, because they're given by exp(-rt), I'm not sure that it
> makes sense to use it with zero and forward rates.)
>
> Luigi
>
>
>
> On Tue, Jan 28, 2014 at 1:21 PM, Peter Caspers <[hidden email]> wrote:
>> Luigi, just out of curiosity, in ForwardRateStructure there seems to
>> be a general purpose implementation to get the zero yield by
>> integration over the forwards. Wouldn't the situation here be a use
>> case for exactly this (i.e. catch the exception and invoke the base
>> class method instead) ?
>> best, Peter
>>
>> On 28 January 2014 12:37, Luigi Ballabio <[hidden email]> wrote:
>>> Yes. the curve is trying to integrate the forwards to get the
>>> discounts, but the LogLinear interpolator doesn't provide a formula
>>> for that. You'll have to choose another interpolation.
>>>
>>> Luigi
>>>
>>> On Mon, Jan 27, 2014 at 5:50 AM, varun yadav <[hidden email]> wrote:
>>>> Hi Luigi,
>>>>
>>>> I passed evaluation date as the first date in liborDates. Also added
>>>> corresponding rate in liborRates. But now it gives exception -
>>>> "LogInterpolation primitive not implemented"
>>>>
>>>> Below are new values -
>>>>
>>>> liborDates -
>>>>
>>>> January 24th, 2014
>>>> July 24th, 2014
>>>> January 24th, 2015
>>>> January 24th, 2016
>>>> January 24th, 2017
>>>> January 24th, 2018
>>>> January 24th, 2019
>>>> January 24th, 2020
>>>> January 24th, 2021
>>>> January 24th, 2022
>>>> January 24th, 2023
>>>> January 24th, 2024
>>>> January 24th, 2029
>>>>
>>>> liborRates -
>>>>
>>>> 8.4
>>>> 8.4955
>>>> 8.36907
>>>> 8.38416
>>>> 8.47267
>>>> 8.62786
>>>> 8.69832
>>>> 8.71107
>>>> 8.85289
>>>> 8.99607
>>>> 8.80085
>>>> 8.7099
>>>> 9.00594
>>>>
>>>> Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?
>>>>
>>>> Thanks in advance!
>>>>
>>>>
>>>> On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio
>>>> <[hidden email]> wrote:
>>>> You should pass the evaluation date as the first date in liborDates.
>>>> You'll need a corresponding extra element in liborRates; just
>>>> replicate the first you have for constant rates from today to the
>>>> first actual Libor date.
>>>>
>>>> Luigi
>>>>
>>>> On Mon, Jan 20, 2014 at 8:12 AM, v17 <[hidden email]> wrote:
>>>>> Hi Everyone,
>>>>>
>>>>> I have following piece of code which gives Exception "negative time (-0.5)
>>>>> given"
>>>>>
>>>>> vector <Real> &forwardRates;
>>>>> const int size = liborRates.size();
>>>>> vector<Date> liborDates(liborTenors.size());
>>>>> for (int i = 0; i < size; i++)
>>>>> {
>>>>> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
>>>>> liborDates[i] = curDate;
>>>>> }
>>>>> yieldCurve = shared_ptr<YieldTermStructure>(new
>>>>> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
>>>>> ycDef.cal));
>>>>> yieldCurve->enableExtrapolation();
>>>>>
>>>>> size = liborTenors.size();
>>>>> forwardRates.clear();
>>>>> forwardRates.resize(size);
>>>>> try
>>>>> {
>>>>> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
>>>>> liborTenors[i] , ycDef.dc, Compounded, Annual);
>>>>> }
>>>>> catch(QuantLib::Error& e)
>>>>> {
>>>>> cout << e.what() << endl;
>>>>> throw;
>>>>> }
>>>>>
>>>>> liborDates has below values -
>>>>>
>>>>> July 20th, 2014
>>>>> January 20th, 2015
>>>>> January 20th, 2016
>>>>> January 20th, 2017
>>>>> January 20th, 2018
>>>>> January 20th, 2019
>>>>> January 20th, 2020
>>>>> January 20th, 2021
>>>>> January 20th, 2022
>>>>> January 20th, 2023
>>>>> January 20th, 2024
>>>>> January 20th, 2029
>>>>>
>>>>> while liborRates is
>>>>> 8.53854
>>>>> 8.40083
>>>>> 8.39311
>>>>> 8.44955
>>>>> 8.56089
>>>>> 8.65359
>>>>> 8.68869
>>>>> 8.80096
>>>>> 8.9133
>>>>> 8.74109
>>>>> 8.66277
>>>>> 8.98536
>>>>>
>>>>> eval date is January 20th, 2014
>>>>>
>>>>> What is causing negative time exception?
>>>>>
>>>>> Thanks,
>>>>> Varun
>>>>>
>>>>>
>>>>>
>>>>> --
>>>>> View this message in context:
>>>>> http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
>>>>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>>>>
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>>>>
>>>>
>>>>
>>>>
>>>> --
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>>>> <https://twitter.com/lballabio
>>>>>
>>>>
>>>>
>>>
>>>
>>>
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>>> <https://twitter.com/lballabio>
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