negative interest rates

Posted by Graaf, A.C.J.M. de (Arie) on
URL: http://quantlib.414.s1.nabble.com/negative-interest-rates-tp16353.html

Hello,

 

I’m using QuantlibXL for pricing some instruments (mainly caps) but getting errors because of negative interest rates.

Specifically, I get the error “qlInterpolatedYieldCurve - invalid value (-5.31648e-005) at index 4” when using qlInterpolatedYieldCurve on the actual rates in the market.

 

And even if I put a floor of 0.001% on the interest rates I get the error “qlInstrumentNPV - forward + displacement (-0.000105577 + 0) must be positive” when using the funtion qlInstrumentNPV to price a cap.

 

Does this mean QL cannot be used in the current market environment?

 

 

Arie de Graaf

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