Re: QL_NEGATIVE_RATES

Posted by igitur on Jun 05, 2014; 2:18pm
URL: http://quantlib.414.s1.nabble.com/QL-NEGATIVE-RATES-tp15367p15393.html

I was asking more out of curiosity than anything else.

My bootstrap initially failed, but understandably so. We have negative forward rates at the short end of our real yield curve. The flat is still disabled by default for QLNet, which is what I'm using. I'll put in a PR to change it to enabled by default.

Francois Botha

On 5 June 2014 16:13, Luigi Ballabio <[hidden email]> wrote:

Hi Francois,
    I don't remember a particular reason. It was just simpler, I guess.
This said, the default in the last few releases is to allow negative
rates. Is there some place where this is not enforced? Where is your
bootstrap failing?

Luigi

On Wed, Jun 4, 2014 at 3:53 PM, Francois Botha <[hidden email]> wrote:
> Hi,
>
> May I ask why QL_NEGATIVE_RATES was implemented as a preprocessor directive
> and not as a run-time option?
>
> I hit this issue while trying to bootstrap my real bond yield curve. On a
> real curve, negative forward rates are very likely at the short end of the
> curve.
>
> regards,
> Francois Botha
>

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