Re: [Quantlib-users] BlackSwaptionEngine - displacement ignored

[Luigi B. <lui...@gm...>]

Just for future reference: this was solved on
https://github.com/lballabio/QuantLib-SWIG/issues/98. (Thanks, Peter and
Benjamin.)

Luigi


On Mon, Feb 5, 2018 at 9:26 AM bjonen <bj...@gm...> wrote:

> 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?
>
>
>
> --
> Sent from: http://quantlib.10058.n7.nabble.com/quantlib-users-f3.html
>
>
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