http://quantlib.414.s1.nabble.com/negative-discount-rate-tp15318p15323.html
> Many thanks Cheng, I would take a look at the optimization class and try it.
>
> regards
>
> Alex
>
>
> 2014-05-28 11:45 GMT+08:00 cheng.li <
[hidden email]>:
>
>> Hi Yuanhao
>>
>>
>>
>> Maybe it is a little bit complicated than root finding…
>>
>>
>>
>> However if you are familiar with it, it won’t be too hard to start.
>>
>>
>>
>> Anyway I can’t come up any other idea which is suitable for your
>> requirement.
>>
>>
>>
>> Regards,
>>
>> Cheng
>>
>>
>>
>> 发件人: Yuanhao Zhang [mailto:
[hidden email]]
>> 发送时间: 2014年5月28日 11:14
>> 收件人: cheng.li
>> 抄送: QuantLib QuantLib
>> 主题: Re: 答复: [Quantlib-users] negative discount rate
>>
>>
>>
>> I want to make it easy to implement. I try to make the curve shift from
>> the point after 3 month tenor to make it hard to get the negative discount
>> rate.
>>
>> Use optimization maybe too complicated, and cost too much time on the
>> optimization, if I have thousands of bond.
>>
>>
>>
>> regards
>>
>>
>>
>> Alex
>>
>>
>>
>> 2014-05-28 10:47 GMT+08:00 cheng.li <
[hidden email]>:
>>
>> Hi Yuanhao,
>>
>>
>>
>> As you are actually finding a root within some interval (e.g. (0.0, inf)),
>> you can’t expect to find a “root” for sure. What you can do is to minimize
>> the error within this interval.
>>
>>
>>
>> In such case I suggest you to use optimizer instead of root finder.
>> QuantLib has a built-in framework for optimizer with constraint. E.g. you
>> can use BFGS optimizer with boundary constraint like (0.0, inf).
>>
>>
>>
>> Under such setting, when optimizer hit the boundary it will stay there or
>> try to find a better solution instead of throwing an error.
>>
>>
>>
>> Regards,
>>
>> Cheng
>>
>>
>>
>>
>>
>>
>>
>> 发件人: Yuanhao Zhang [mailto:
[hidden email]]
>> 发送时间: 2014年5月28日 10:19
>> 收件人: QuantLib QuantLib
>> 主题: [Quantlib-users] negative discount rate
>>
>>
>>
>> Hi,
>>
>> I try to use the solver function like Bisection or Newton method to find
>> the root of the curve parallel shift to make sure the valuation result is
>> very close to the market quotation.
>>
>> But, when I set the minimum boundary to -0.1, QuantLib throw out the
>> exception the discount rate can not be the negative one. I know Quantlib
>> allow user to set the discount rate to be negative one, But, I just want the
>> RootFunction to find the result to the lowest one, but never to be negative
>> one.
>>
>>
>>
>> How can I achieve it?
>>
>>
>>
>> Many thanks
>>
>>
>>
>> regards
>>
>>
>>
>> Alex
>>
>>
>
>
>
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