Re: [Quantlib-dev] yield calculation failing when resulting yield should be less than -54.4%

[ltorjul <lt...@ho...>]

Hi,

Thanks for your answer!

I tested your suggestion and changed line 968 in the cashflows.cpp file to:
return solver.solve(objFunction, accuracy, guess, -10.0 , 10.0); 

This causes the error:
root not bracketed: f[-10,10] -> [-1.#IND00e+000,5.999990e+004]

I guess the reason is that a root of -10 cannot exist. If you look at the
question from a financial perspective, you can off course loose you entire
investment (Which would give a yield of -100%), but you could never get in
the situation where you owe money (i.e. yield cannot be < -100%). Not sure
if this makes any sense to you.

Anyway I tested with:
return solver.solve(objFunction, accuracy, guess, -1.0 , 10.0);
and this seems to work. I'm able to calculate yield in those extreme cases
where yield is less than -54.4%.

I have also tested the unmodified yield function with a difference initial
guess, e.g.
yield(frb, cleanPrice, dayCounter, QuantLib::Compounded, coupCompfrequency,
settlementDate, 1e-8, 100, *-0.80*)

and it seems that using an initial guess of -.8 (-80%) "moves" the limit
where the problem occures to about -91%. This however this causes the solver
to work about 15% slower :-(

Anyway I like the solution where you sets the upper and lower limits better.

I'm good with this solution. But if you have other ideas or remarks I would
be very grateful.

Regards Laurtiz




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