Posted by
Peter Caspers-4 on
Feb 09, 2016; 9:28am
URL: http://quantlib.414.s1.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292p17293.html
Hi Lisa,
it will be solved in 1.8 where you can set up normal and shifted
lognormal optionlet volatility structures with an extended
BlackIborCouponPricer, specifically look at this
https://github.com/lballabio/QuantLib/pull/12/files#diff-a048084341cc154a0e8bf11caed1de02R93At the moment you can only remove any caplets / floorlets and in
arrears features to avoid the call of the pricer (it won't give you a
reasonable result anyway if the forward is negative). In principle you
can even do this on a single coupon basis, i.e. only remove the
optionlets where the forward is negative, but that would require that
you set up the Legs in question manually.
Other possible solutions, but these require that you recompile the code:
1) merge the relevant PRs into your version (#7, #8, #12, where #8
needs some amendments, see the PR details, but I think it should work
already without them)
2) dirty-hack the code (floor the strike at 1bp in the black formula
and disable the strike check, in that direction, I wouldn't really
recommend that though)
Regards
Peter
On 8 February 2016 at 10:47, Lisa Ann <
[hidden email]> wrote:
> 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?
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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