Re: blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive
Posted by
christos.arvanitis on
Feb 09, 2016; 4:39pm
URL: http://quantlib.414.s1.nabble.com/blackformula-cpp-53-In-function-void-anonymous-checkParameters-QuantLib-Real-QuantLib-Real-QuantLib-e-tp17292p17298.html
Ok peter thanks for the tip
Now I remember I have done this is userconfig.hpp but still I am getting errors in the bootstrapping on excel
Any other suggestions???
Christos
From: Peter Caspers [mailto:[hidden email]]
Sent: Tuesday, February 09, 2016 7:22 PM
To: Αρβανίτης Χρήστος
Cc: [hidden email]; [hidden email]
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive
Importance: High
yes, sure, on Linux etc. you would pass —enable-negative-rates to configure, on Windows you would edit ql/userconfig.hpp and define the QL_NEGATIVE_RATES macro
thanks peter for your reply
can you remind me of how for sure this is enabled because I am getting troubles in the bootstrapping phase
From: Peter
Caspers [[hidden email]]
Sent: Tuesday, February 09, 2016 7:14 PM
To: Αρβανίτης Χρήστος
Cc: Lisa Ann; QuantLib users
Subject: Re: [Quantlib-users] blackformula.cpp:53: In function `void {anonymous}::checkParameters(QuantLib::Real, QuantLib::Real, QuantLib::Real)': forward + displacement must be positive
it's QL_NEGATIVE_RATES, but if this is not enabled you would already get an exception when bootstrapping a yield curve with negative rates; also it is enabled by default for quite a number of releases (it is in the dev master since Aug-2012)
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?
--
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
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