Re: negative discount rate
Posted by
jojogh on
URL: http://quantlib.414.s1.nabble.com/negative-discount-rate-tp15318p15328.html
thanks Peter i will try this function of cash flow.
Regards
Alex
Peter Caspers <
[hidden email]>于2014年5月29日星期四写道：
maybe it could be illuminating looking at the zSpread method in ql /
cashflows / cashflows.?pp, which does something similar to what you
seem to try to achieve ?
Peter
On 28 May 2014 09:47, cheng.li <[hidden email]> wrote:
> Hi Luigi，
>
> I think here what he refers as "negative discount rate" actually means negative zero rates.
>
> Am I right Alex?
>
> Regards,
> Cheng
>
> -----邮件原件-----
> 发件人: Luigi Ballabio [mailto:[hidden email]]
> 发送时间: 2014年5月28日 15:32
> 收件人: Yuanhao Zhang
> 抄送: cheng.li; QuantLib QuantLib
> 主题: Re: [Quantlib-users] 答复: 答复: negative discount rate
>
> Hello,
> optimization is a possibility, but are you sure of what you're doing? Negative rates are one thing (and QuantLib does allow them) but negative discount factors don't make sense...
>
> Luigi
>
>
> On Wed, May 28, 2014 at 7:44 AM, Yuanhao Zhang <[hidden email]> wrote:
>> 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> ------------------------------------------------------------------------------
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