[Quantlib-users] BlackSwaptionEngine - displacement ignored

[bjonen <bj...@gm...>]

I'm having trouble using the BlackSwaptionEngine with displacement. While the
displacement can be passed to the ql.BlackSwaptionEngine, swap.blackPrice
returns an error indicating that the displacement is ignored (this is
QuantLib 1.12 on Linux).

forward_rate = -0.01
day_count = ql.Thirty360()
todays_date = ql.Date(20, 10, 2017)
spot_curve = ql.FlatForward(todays_date,
                            ql.QuoteHandle(ql.SimpleQuote(forward_rate)),
                            day_count)
termstruct = ql.YieldTermStructureHandle(spot_curve)
displacement = 0.5
eng = ql.BlackSwaptionEngine(termstruct,
ql.QuoteHandle(ql.SimpleQuote(0.1)), ql.Actual365Fixed(), displacement)
index = ql.USDLibor(ql.Period(3, ql.Months), termstruct)
swap = ql.SwaptionHelper(ql.Period(2, ql.Years), ql.Period(3, ql.Years), 
                  ql.QuoteHandle(ql.SimpleQuote(0.15)), index,
index.tenor(), index.dayCounter(), 
                  index.dayCounter(), termstruct)
swap.setPricingEngine(eng)
swap.blackPrice(0.1)

RuntimeErrorTraceback (most recent call last)
<ipython-input-125-7c601816769d> in <module>()
     13                   index.dayCounter(), termstruct)
     14 swap.setPricingEngine(eng)
---> 15 swap.blackPrice(0.1)

/opt/conda/envs/main/lib/python2.7/site-packages/QuantLib/QuantLib.py in
blackPrice(self, volatility)
  10116 
  10117     def blackPrice(self, volatility):
> 10118         return _QuantLib.CalibrationHelper_blackPrice(self,
> volatility)
  10119 
  10120     def volatility(self):

RuntimeError: strike + displacement (-0.00984189 + 0) must be non-negative

This question is related to
http://quantlib.10058.n7.nabble.com/Swaption-pricing-with-negative-rates-in-python-td17714.html

Also I posted the question on github but realized that probably more people
read this mailing list
(https://github.com/lballabio/QuantLib-SWIG/issues/98). 

Am I missing something? 



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