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blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

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Lisa Ann

blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Hi,

is any QuantLib user having this issue with EUR interest rates? Since when EUR interest rates were brought very negative a lot of these errors have come in my application.

As instance, current EUR swap curve shows its first positive value at 5Y tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing, this error...

blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

...prevents me from calculating fair values et cetera of FRNs and bonds like that because they use forward rates to forecast future coupon payments and optionlets' values under Black76 model, and it seems that negative forward rates are not accepted.

Any way to sort this out?

Peter Caspers-4

Re: blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Hi Lisa,

it will be solved in 1.8 where you can set up normal and shifted
lognormal optionlet volatility structures with an extended
BlackIborCouponPricer, specifically look at this

https://github.com/lballabio/QuantLib/pull/12/files#diff-a048084341cc154a0e8bf11caed1de02R93

At the moment you can only remove any caplets / floorlets and in
arrears features to avoid the call of the pricer (it won't give you a
reasonable result anyway if the forward is negative). In principle you
can even do this on a single coupon basis, i.e. only remove the
optionlets where the forward is negative, but that would require that
you set up the Legs in question manually.

Other possible solutions, but these require that you recompile the code:

1) merge the relevant PRs into your version (#7, #8, #12, where #8
needs some amendments, see the PR details, but I think it should work
already without them)
2) dirty-hack the code (floor the strike at 1bp in the black formula
and disable the strike check, in that direction, I wouldn't really
recommend that though)

Regards
Peter

On 8 February 2016 at 10:47, Lisa Ann <[hidden email]> wrote:

> Hi,
>
> is any QuantLib user having this issue with EUR interest rates? Since when
> EUR interest rates were brought very negative a lot of these errors have
> come in my application.
>
> As instance, current EUR swap curve shows its first positive value at 5Y
> tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing,
> this error...
>
> /blackformula.cpp:53: In function `void
> {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real,
> QuantLib::Real)': forward + displacement must be positive/
>
> ...prevents me from calculating fair values /et cetera/ of FRNs and bonds
> like that because they use forward rates to forecast future coupon payments
> and optionlets' values under Black76 model, and it seems that negative
> forward rates are not accepted.
>
> Any way to sort this out?
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
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> APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month
> Monitor end-to-end web transactions and take corrective actions now
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christos.arvanitis

Re: blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

In reply to this post by Lisa Ann

Yes there is an issue with negative rates
Need to flag the use of negative rates when compiling but I don't know how
If any info on that I would like to share
Best
Christos Arvanitis

-----Original Message-----
From: Lisa Ann [mailto:[hidden email]]
Sent: Monday, February 08, 2016 11:47 AM
To: [hidden email]
Subject: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Hi,

is any QuantLib user having this issue with EUR interest rates? Since when EUR interest rates were brought very negative a lot of these errors have come in my application.

As instance, current EUR swap curve shows its first positive value at 5Y tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing, this error...

/blackformula.cpp:53: In function `void
{anonymous}::checkParameters(QuantLib::Real, QuantLib::Real,
QuantLib::Real)': forward + displacement must be positive/

...prevents me from calculating fair values /et cetera/ of FRNs and bonds like that because they use forward rates to forecast future coupon payments and optionlets' values under Black76 model, and it seems that negative forward rates are not accepted.

Any way to sort this out?

--
View this message in context: http://quantlib.10058.n7.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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Peter Caspers-4

Re: blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

it's QL_NEGATIVE_RATES, but if this is not enabled you would already get an exception when bootstrapping a yield curve with negative rates; also it is enabled by default for quite a number of releases (it is in the dev master since Aug-2012)

Regards

Peter

Am 09.02.2016 um 12:22 schrieb <[hidden email]> <[hidden email]>:

Yes there is an issue with negative rates
Need to flag the use of negative rates when compiling but I don't know how
If any info on that I would like to share
Best
Christos Arvanitis

-----Original Message-----
From: Lisa Ann [mailto:[hidden email]]
Sent: Monday, February 08, 2016 11:47 AM
To: [hidden email]
Subject: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Hi,

is any QuantLib user having this issue with EUR interest rates? Since when EUR interest rates were brought very negative a lot of these errors have come in my application.

As instance, current EUR swap curve shows its first positive value at 5Y tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing, this error...

/blackformula.cpp:53: In function `void
{anonymous}::checkParameters(QuantLib::Real, QuantLib::Real,
QuantLib::Real)': forward + displacement must be positive/

...prevents me from calculating fair values /et cetera/ of FRNs and bonds like that because they use forward rates to forecast future coupon payments and optionlets' values under Black76 model, and it seems that negative forward rates are not accepted.

Any way to sort this out?

--
View this message in context: http://quantlib.10058.n7.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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The contents of this message contain personal opinions of the sender, which are not the official views of Piraeus Bank nor do they consist a provision of financial or advisory services unless expressly stated otherwise. This message is not a solicitation and/or an offer or acceptance of any proposal in relation to any contract or transaction unless expressly otherwise indicated in the message itself.

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christos.arvanitis

Re: blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

thanks peter for your reply

can you remind me of how for sure this is enabled because I am getting troubles in the bootstrapping phase

thanks and regards

Christos Arvanitis

From: Peter Caspers [mailto:[hidden email]]
Sent: Tuesday, February 09, 2016 7:14 PM
To: Αρβανίτης Χρήστος
Cc: Lisa Ann; QuantLib users
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Regards

Peter

Am 09.02.2016 um 12:22 schrieb <[hidden email]> <[hidden email]>:

Yes there is an issue with negative rates
Need to flag the use of negative rates when compiling but I don't know how
If any info on that I would like to share
Best
Christos Arvanitis

-----Original Message-----
From: Lisa Ann [mailto:[hidden email]]
Sent: Monday, February 08, 2016 11:47 AM
To: [hidden email]
Subject: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Hi,

is any QuantLib user having this issue with EUR interest rates? Since when EUR interest rates were brought very negative a lot of these errors have come in my application.

As instance, current EUR swap curve shows its first positive value at 5Y tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing, this error...

/blackformula.cpp:53: In function `void
{anonymous}::checkParameters(QuantLib::Real, QuantLib::Real,
QuantLib::Real)': forward + displacement must be positive/

...prevents me from calculating fair values /et cetera/ of FRNs and bonds like that because they use forward rates to forecast future coupon payments and optionlets' values under Black76 model, and it seems that negative forward rates are not accepted.

Any way to sort this out?

--
View this message in context: http://quantlib.10058.n7.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html
Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------
Site24x7 APM Insight: Get Deep Visibility into Application Performance APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month Monitor end-to-end web transactions and take corrective actions now Troubleshoot faster and improve end-user experience. Signup Now!
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_______________________________________________
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MESSAGE CONFIDENTIALITY AND SECURITY NOTICE

=========================================

This message and/or its attachments may contain confidential and privileged information and is intended for the named person or entity to which it is addressed. Any use, copying or distribution of this information by anyone other than the intended recipient(s) is prohibited by law. If you receive this in error, please immediately delete it from your system and notify the sender.

The contents of this message contain personal opinions of the sender, which are not the official views of Piraeus Bank nor do they consist a provision of financial or advisory services unless expressly stated otherwise. This message is not a solicitation and/or an offer or acceptance of any proposal in relation to any contract or transaction unless expressly otherwise indicated in the message itself.

The Internet is not a secure or error-free environment, and Piraeus Bank does not accept liability for any loss or damage arising from the use of this message or from delayed, intercepted, corrupted or virus-infected e-mail transmission.

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Peter Caspers-4

Re: blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

yes, sure, on Linux etc. you would pass —enable-negative-rates to configure, on Windows you would edit ql/userconfig.hpp and define the QL_NEGATIVE_RATES macro

Regards

Peter

Am 09.02.2016 um 18:18 schrieb [hidden email]:

thanks peter for your reply
can you remind me of how for sure this is enabled because I am getting troubles in the bootstrapping phase
thanks and regards
Christos Arvanitis

From: Peter Caspers [[hidden email]]
Sent: Tuesday, February 09, 2016 7:14 PM
To: Αρβανίτης Χρήστος
Cc: Lisa Ann; QuantLib users
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

it's QL_NEGATIVE_RATES, but if this is not enabled you would already get an exception when bootstrapping a yield curve with negative rates; also it is enabled by default for quite a number of releases (it is in the dev master since Aug-2012)
Regards
Peter
Am 09.02.2016 um 12:22 schrieb <[hidden email]> <[hidden email]>:

Yes there is an issue with negative rates
Need to flag the use of negative rates when compiling but I don't know how
If any info on that I would like to share
Best
Christos Arvanitis

-----Original Message-----
From: Lisa Ann [mailto:[hidden email]]
Sent: Monday, February 08, 2016 11:47 AM
To: [hidden email]
Subject: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Hi,

is any QuantLib user having this issue with EUR interest rates? Since when EUR interest rates were brought very negative a lot of these errors have come in my application.

As instance, current EUR swap curve shows its first positive value at 5Y tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing, this error...

/blackformula.cpp:53: In function `void
{anonymous}::checkParameters(QuantLib::Real, QuantLib::Real,
QuantLib::Real)': forward + displacement must be positive/

...prevents me from calculating fair values /et cetera/ of FRNs and bonds like that because they use forward rates to forecast future coupon payments and optionlets' values under Black76 model, and it seems that negative forward rates are not accepted.

Any way to sort this out?

--
View this message in context: http://quantlib.10058.n7.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html
Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------
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_______________________________________________
QuantLib-users mailing list
[hidden email]
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MESSAGE CONFIDENTIALITY AND SECURITY NOTICE

=========================================

This message and/or its attachments may contain confidential and privileged information and is intended for the named person or entity to which it is addressed. Any use, copying or distribution of this information by anyone other than the intended recipient(s) is prohibited by law. If you receive this in error, please immediately delete it from your system and notify the sender.

The contents of this message contain personal opinions of the sender, which are not the official views of Piraeus Bank nor do they consist a provision of financial or advisory services unless expressly stated otherwise. This message is not a solicitation and/or an offer or acceptance of any proposal in relation to any contract or transaction unless expressly otherwise indicated in the message itself.

The Internet is not a secure or error-free environment, and Piraeus Bank does not accept liability for any loss or damage arising from the use of this message or from delayed, intercepted, corrupted or virus-infected e-mail transmission.

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christos.arvanitis

Re: blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Ok peter thanks for the tip

Now I remember I have done this is userconfig.hpp but still I am getting errors in the bootstrapping on excel

Any other suggestions???

Christos

From: Peter Caspers [mailto:[hidden email]]
Sent: Tuesday, February 09, 2016 7:22 PM
To: Αρβανίτης Χρήστος
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive
Importance: High

yes, sure, on Linux etc. you would pass —enable-negative-rates to configure, on Windows you would edit ql/userconfig.hpp and define the QL_NEGATIVE_RATES macro

Regards

Peter

Am 09.02.2016 um 18:18 schrieb [hidden email]:

thanks peter for your reply

can you remind me of how for sure this is enabled because I am getting troubles in the bootstrapping phase

thanks and regards

Christos Arvanitis

From: Peter Caspers [[hidden email]]
Sent: Tuesday, February 09, 2016 7:14 PM
To: Αρβανίτης Χρήστος
Cc: Lisa Ann; QuantLib users
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

it's QL_NEGATIVE_RATES, but if this is not enabled you would already get an exception when bootstrapping a yield curve with negative rates; also it is enabled by default for quite a number of releases (it is in the dev master since Aug-2012)

Regards

Peter

Am 09.02.2016 um 12:22 schrieb <[hidden email]> <[hidden email]>:

Yes there is an issue with negative rates
Need to flag the use of negative rates when compiling but I don't know how
If any info on that I would like to share
Best
Christos Arvanitis

-----Original Message-----
From: Lisa Ann [mailto:[hidden email]]
Sent: Monday, February 08, 2016 11:47 AM
To: [hidden email]
Subject: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Hi,

is any QuantLib user having this issue with EUR interest rates? Since when EUR interest rates were brought very negative a lot of these errors have come in my application.

As instance, current EUR swap curve shows its first positive value at 5Y tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing, this error...

/blackformula.cpp:53: In function `void
{anonymous}::checkParameters(QuantLib::Real, QuantLib::Real,
QuantLib::Real)': forward + displacement must be positive/

...prevents me from calculating fair values /et cetera/ of FRNs and bonds like that because they use forward rates to forecast future coupon payments and optionlets' values under Black76 model, and it seems that negative forward rates are not accepted.

Any way to sort this out?

--
View this message in context: http://quantlib.10058.n7.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html
Sent from the quantlib-users mailing list archive at Nabble.com.

------------------------------------------------------------------------------
Site24x7 APM Insight: Get Deep Visibility into Application Performance APM + Mobile APM + RUM: Monitor 3 App instances at just $35/Month Monitor end-to-end web transactions and take corrective actions now Troubleshoot faster and improve end-user experience. Signup Now!
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_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users

MESSAGE CONFIDENTIALITY AND SECURITY NOTICE

=========================================

This message and/or its attachments may contain confidential and privileged information and is intended for the named person or entity to which it is addressed. Any use, copying or distribution of this information by anyone other than the intended recipient(s) is prohibited by law. If you receive this in error, please immediately delete it from your system and notify the sender.

The contents of this message contain personal opinions of the sender, which are not the official views of Piraeus Bank nor do they consist a provision of financial or advisory services unless expressly stated otherwise. This message is not a solicitation and/or an offer or acceptance of any proposal in relation to any contract or transaction unless expressly otherwise indicated in the message itself.

The Internet is not a secure or error-free environment, and Piraeus Bank does not accept liability for any loss or damage arising from the use of this message or from delayed, intercepted, corrupted or virus-infected e-mail transmission.

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Peter Caspers-4

Re: blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

no, please post the error message here, then we can have a look

Peter

Am 09.02.2016 um 18:31 schrieb <[hidden email]> <[hidden email]>:

Ok peter thanks for the tip
Now I remember I have done this is userconfig.hpp but still I am getting errors in the bootstrapping on excel
Any other suggestions???
Christos

From: Peter Caspers [[hidden email]]
Sent: Tuesday, February 09, 2016 7:22 PM
To: Αρβανίτης Χρήστος
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive
Importance: High

yes, sure, on Linux etc. you would pass —enable-negative-rates to configure, on Windows you would edit ql/userconfig.hpp and define the QL_NEGATIVE_RATES macro
Regards
Peter

Am 09.02.2016 um 18:18 schrieb [hidden email]:

thanks peter for your reply
can you remind me of how for sure this is enabled because I am getting troubles in the bootstrapping phase
thanks and regards
Christos Arvanitis

From: Peter Caspers [[hidden email]]
Sent: Tuesday, February 09, 2016 7:14 PM
To: Αρβανίτης Χρήστος
Cc: Lisa Ann; QuantLib users
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

it's QL_NEGATIVE_RATES, but if this is not enabled you would already get an exception when bootstrapping a yield curve with negative rates; also it is enabled by default for quite a number of releases (it is in the dev master since Aug-2012)
Regards
Peter
Am 09.02.2016 um 12:22 schrieb <[hidden email]> <[hidden email]>:

Yes there is an issue with negative rates
Need to flag the use of negative rates when compiling but I don't know how
If any info on that I would like to share
Best
Christos Arvanitis

-----Original Message-----
From: Lisa Ann [mailto:[hidden email]]
Sent: Monday, February 08, 2016 11:47 AM
To: [hidden email]
Subject: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Hi,

is any QuantLib user having this issue with EUR interest rates? Since when EUR interest rates were brought very negative a lot of these errors have come in my application.

As instance, current EUR swap curve shows its first positive value at 5Y tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing, this error...

/blackformula.cpp:53: In function `void
{anonymous}::checkParameters(QuantLib::Real, QuantLib::Real,
QuantLib::Real)': forward + displacement must be positive/

...prevents me from calculating fair values /et cetera/ of FRNs and bonds like that because they use forward rates to forecast future coupon payments and optionlets' values under Black76 model, and it seems that negative forward rates are not accepted.

Any way to sort this out?

--
View this message in context: http://quantlib.10058.n7.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html
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christos.arvanitis

Re: blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Ok let me try once more recompile for the xll and I will keep you posted

All the best Christos

From: Peter Caspers [mailto:[hidden email]]
Sent: Tuesday, February 09, 2016 7:41 PM
To: Αρβανίτης Χρήστος
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

no, please post the error message here, then we can have a look

Peter

Am 09.02.2016 um 18:31 schrieb <[hidden email]> <[hidden email]>:

Ok peter thanks for the tip

Now I remember I have done this is userconfig.hpp but still I am getting errors in the bootstrapping on excel

Any other suggestions???

Christos

From: Peter Caspers [[hidden email]]
Sent: Tuesday, February 09, 2016 7:22 PM
To: Αρβανίτης Χρήστος
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive
Importance: High

yes, sure, on Linux etc. you would pass —enable-negative-rates to configure, on Windows you would edit ql/userconfig.hpp and define the QL_NEGATIVE_RATES macro

Regards

Peter

Am 09.02.2016 um 18:18 schrieb [hidden email]:

thanks peter for your reply

can you remind me of how for sure this is enabled because I am getting troubles in the bootstrapping phase

thanks and regards

Christos Arvanitis

From: Peter Caspers [[hidden email]]
Sent: Tuesday, February 09, 2016 7:14 PM
To: Αρβανίτης Χρήστος
Cc: Lisa Ann; QuantLib users
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

it's QL_NEGATIVE_RATES, but if this is not enabled you would already get an exception when bootstrapping a yield curve with negative rates; also it is enabled by default for quite a number of releases (it is in the dev master since Aug-2012)

Regards

Peter

Am 09.02.2016 um 12:22 schrieb <[hidden email]> <[hidden email]>:

Yes there is an issue with negative rates
Need to flag the use of negative rates when compiling but I don't know how
If any info on that I would like to share
Best
Christos Arvanitis

-----Original Message-----
From: Lisa Ann [mailto:[hidden email]]
Sent: Monday, February 08, 2016 11:47 AM
To: [hidden email]
Subject: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Hi,

is any QuantLib user having this issue with EUR interest rates? Since when EUR interest rates were brought very negative a lot of these errors have come in my application.

As instance, current EUR swap curve shows its first positive value at 5Y tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing, this error...

/blackformula.cpp:53: In function `void
{anonymous}::checkParameters(QuantLib::Real, QuantLib::Real,
QuantLib::Real)': forward + displacement must be positive/

...prevents me from calculating fair values /et cetera/ of FRNs and bonds like that because they use forward rates to forecast future coupon payments and optionlets' values under Black76 model, and it seems that negative forward rates are not accepted.

Any way to sort this out?

--
View this message in context: http://quantlib.10058.n7.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html
Sent from the quantlib-users mailing list archive at Nabble.com.

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[hidden email]
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MESSAGE CONFIDENTIALITY AND SECURITY NOTICE

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The contents of this message contain personal opinions of the sender, which are not the official views of Piraeus Bank nor do they consist a provision of financial or advisory services unless expressly stated otherwise. This message is not a solicitation and/or an offer or acceptance of any proposal in relation to any contract or transaction unless expressly otherwise indicated in the message itself.

The Internet is not a secure or error-free environment, and Piraeus Bank does not accept liability for any loss or damage arising from the use of this message or from delayed, intercepted, corrupted or virus-infected e-mail transmission.

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