Re: [Quantlib-dev] QL_NEGATIVE_RATES

[Francois B. <ig...@gm...>]

I was asking more out of curiosity than anything else.

My bootstrap initially failed, but understandably so. We have negative
forward rates at the short end of our real yield curve. The flat is still
disabled by default for QLNet, which is what I'm using. I'll put in a PR to
change it to enabled by default.

Francois Botha


On 5 June 2014 16:13, Luigi Ballabio <lui...@gm...> wrote:

> Hi Francois,
>     I don't remember a particular reason. It was just simpler, I guess.
> This said, the default in the last few releases is to allow negative
> rates. Is there some place where this is not enforced? Where is your
> bootstrap failing?
>
> Luigi
>
>
> On Wed, Jun 4, 2014 at 3:53 PM, Francois Botha <ig...@gm...> wrote:
> > Hi,
> >
> > May I ask why QL_NEGATIVE_RATES was implemented as a preprocessor
> directive
> > and not as a run-time option?
> >
> > I hit this issue while trying to bootstrap my real bond yield curve. On a
> > real curve, negative forward rates are very likely at the short end of
> the
> > curve.
> >
> > regards,
> > Francois Botha
> >
> >
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