Posted by
christos.arvanitis on
Feb 09, 2016; 10:46am
URL: http://quantlib.414.s1.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292p17294.html
Yes there is an issue with negative rates
Need to flag the use of negative rates when compiling but I don't know how
If any info on that I would like to share
Best
Christos Arvanitis
-----Original Message-----
From: Lisa Ann [mailto:
[hidden email]]
Sent: Monday, February 08, 2016 11:47 AM
To:
[hidden email]
Subject: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive
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?
--
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