Support for negative rate IR derivatives

Posted by t_blake on Mar 30, 2016; 6:45am
URL: http://quantlib.414.s1.nabble.com/Support-for-negative-rate-IR-derivatives-tp17369.html

Hello,

I am using QL to develop IR rate derivative pricing capabilities, in particular for swaptions and caps/floors and possibly in-arrears swaps and cross-currency swaps. I have read that more general support for negative rates is forthcoming in the 1.8 release (Bachelier swaption pricing engine for example) but I have some questions regarding the extent to which derivative pricing in negative rate environments will be implemented.

For example, are you planning on extending the functionality of the optionletstripper2 object or the swaptionvolcube1 object to support neg rates? What about an interpolation scheme that has acceptable behavior when rates are close to 0 or negative (such as the free boundary SABR)?

Could you provide some guidance for when the 1.8 release is planned? Are any of the above objects already implemented in the GitHub master?

More generally, I would like to thank you for your ongoing development of QL. It is incredible to have a tool like this in the public domain and I admire your work greatly.

Thank you in advance for your support,
Best regards,

TB