http://quantlib.414.s1.nabble.com/Negative-price-with-Forward-Rates-tp14868p14932.html
Yes, possibly. In that case, we'd have to make the change in
InterpolatedForwardCurve<T>::zeroYieldImpl. But since we don't have
it bubble up to client code). It wouldn't look very pretty :)
the LogLinear interpolation. I'm not sure that I like a situation in
depending on the interpolation method. Sure, the current situation is
> 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://implementingquantlib.blogspot.com>
>>> <
https://twitter.com/lballabio>>>>
>>>
>>>
>>
>>
>>
>> --
>> <
https://implementingquantlib.blogspot.com>
>> <
https://twitter.com/lballabio>
>>
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