http://quantlib.414.s1.nabble.com/negative-discount-rate-tp15318p15341.html
effective discounting spread, even if negative. I would assume though
consistent with what is e.g. quoted as z-spread in BBG.
> Sorry, I did not make it clear. The use case is like this, suppose I have a
> spot rate curve, and I use this curve as the input to value a bond, but the
> bond valuation result is different from the market quotation. So I want to
> find the spread from the bond quotation, that is my original idea. I will
> parallel shift the curve by adding the spread, to fit the market price.
> But if I parallel shift the curve downside, the spot rate of the term
> structure in the early tenor may appear to be negative one. I just want to
> avoid this situation, is there any solution I can refer to? Cheng Li's idea
> using the optimizer may be the choose, is there another one I can just use
> the solver to achieve it?
>
> many thanks
>
> Alex
>
>
> 2014-05-29 18:20 GMT+08:00 Peter Caspers <
[hidden email]>:
>
>> Hi Alex,
>> you should describe your whole use case in more detail. As Luigi
>> said it is still not clear what you are trying to do in the first
>> place.
>> best regards
>> Peter
>>
>> On 29 May 2014 04:55, Yuanhao Zhang <
[hidden email]> wrote:
>> > 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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>> >
>
>
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