http://quantlib.414.s1.nabble.com/Negative-price-with-Forward-Rates-tp14868p14903.html
Yes. the curve is trying to integrate the forwards to get the
for that. You'll have to choose another interpolation.
> 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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>
>
>
> --
> <
https://implementingquantlib.blogspot.com>
> <
https://twitter.com/lballabio>>
>
>
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