blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

Posted by Lisa Ann on Feb 08, 2016; 9:47am
URL: http://quantlib.414.s1.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html

Hi,

is any QuantLib user having this issue with EUR interest rates? Since when EUR interest rates were brought very negative a lot of these errors have come in my application.

As instance, current EUR swap curve shows its first positive value at 5Y tenor, and it's not even smooth before; even with a Nelson-Siegel smoothing, this error...

blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive

...prevents me from calculating fair values et cetera of FRNs and bonds like that because they use forward rates to forecast future coupon payments and optionlets' values under Black76 model, and it seems that negative forward rates are not accepted.

Any way to sort this out?