http://quantlib.414.s1.nabble.com/negative-discount-rate-tp15318p15332.html
you should describe your whole use case in more detail. As Luigi
> I may correct it first, it is about the negative zero rate not discount
> rate, mis-wrote it, sorry about that.
>
> Peter, I have read the code of zspread in ql cashflows, the implementation
> is very similar to my work before, in which, use the rootfind function to
> find the accurate one. Have you ever met the result of the zspread to make
> the zero rate in the earlier tenor plus zspread to be negative one?
>
> regards
>
> Alex
>
>
> 2014-05-29 8:30 GMT+08:00 Yuanhao Zhang <
[hidden email]>:
>
>> 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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>
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