QL_NEGATIVE_RATES

[igitur]

Hi,

May I ask why QL_NEGATIVE_RATES was implemented as a preprocessor directive and not as a run-time option?

I hit this issue while trying to bootstrap my real bond yield curve. On a real curve, negative forward rates are very likely at the short end of the curve.

regards,

Francois Botha

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[Luigi Ballabio]

Hi Francois,
    I don't remember a particular reason. It was just simpler, I guess.
This said, the default in the last few releases is to allow negative
rates. Is there some place where this is not enforced? Where is your
bootstrap failing?

Luigi


On Wed, Jun 4, 2014 at 3:53 PM, Francois Botha <[hidden email]> wrote:

> Hi,
>
> May I ask why QL_NEGATIVE_RATES was implemented as a preprocessor directive
> and not as a run-time option?
>
> I hit this issue while trying to bootstrap my real bond yield curve. On a
> real curve, negative forward rates are very likely at the short end of the
> curve.
>
> regards,
> Francois Botha
>
> ------------------------------------------------------------------------------
> Learn Graph Databases - Download FREE O'Reilly Book
> "Graph Databases" is the definitive new guide to graph databases and their
> applications. Written by three acclaimed leaders in the field,
> this first edition is now available. Download your free book today!
> http://p.sf.net/sfu/NeoTech
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>

... [show rest of quote]

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

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[igitur]

I was asking more out of curiosity than anything else.

My bootstrap initially failed, but understandably so. We have negative forward rates at the short end of our real yield curve. The flat is still disabled by default for QLNet, which is what I'm using. I'll put in a PR to change it to enabled by default.

Francois Botha

On 5 June 2014 16:13, Luigi Ballabio <[hidden email]> wrote:

Hi Francois,
    I don't remember a particular reason. It was just simpler, I guess.
This said, the default in the last few releases is to allow negative
rates. Is there some place where this is not enforced? Where is your
bootstrap failing?

Luigi

On Wed, Jun 4, 2014 at 3:53 PM, Francois Botha <[hidden email]> wrote:
> Hi,
>
> May I ask why QL_NEGATIVE_RATES was implemented as a preprocessor directive
> and not as a run-time option?
>
> I hit this issue while trying to bootstrap my real bond yield curve. On a
> real curve, negative forward rates are very likely at the short end of the
> curve.
>
> regards,
> Francois Botha
>

> ------------------------------------------------------------------------------
> Learn Graph Databases - Download FREE O'Reilly Book
> "Graph Databases" is the definitive new guide to graph databases and their
> applications. Written by three acclaimed leaders in the field,
> this first edition is now available. Download your free book today!
> http://p.sf.net/sfu/NeoTech
> _______________________________________________
> QuantLib-dev mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>



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

... [show rest of quote]

------------------------------------------------------------------------------
Learn Graph Databases - Download FREE O'Reilly Book
"Graph Databases" is the definitive new guide to graph databases and their
applications. Written by three acclaimed leaders in the field,
this first edition is now available. Download your free book today!
http://p.sf.net/sfu/NeoTech
_______________________________________________
QuantLib-dev mailing list
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