Re: [Quantlib-users] NPV method fails to generate valuations

[Amine I. <ami...@gm...>]

I dont see anything wrong with your call. I suspect this has to do with the Black pricing formula used for valuing the swaption. That is where you would have to look for the mistake.

> On 19 Sep 2020, at 17:54, Daniel Lobo <dan...@gm...> wrote:
> 
> Thanks.
> 
> I tried to enable extrapolation with below snippet -
> 
> std::vector<QuantLib::Date> sr_dt;
>      std::vector<QuantLib::Real> sr_v;
>      sr_dt.push_back(Date(15, February, 2002));
>     sr_dt.push_back(Date(15, February, 2003));
>     sr_dt.push_back(Date(15, February, 2004));
>     sr_v.push_back(0);
>     sr_v.push_back(3.5/100);
>     sr_v.push_back(6/100);
> 
>        Handle<YieldTermStructure>
> rhTermStructure(ext::make_shared<ZeroCurve>(sr_dt, sr_v,
> Actual365Fixed()));
>        rhTermStructure->enableExtrapolation();
> 
> However with this I am getting below error -
> 
> strike + displacement (-0.0621661 + 0) must be non-negative
> 
> Is there any better way to enable extrapolation?
> 
> Thanks again for your help.
> 
> On Sat, 19 Sep 2020 at 21:36, Amine Ifri <ami...@gm...> wrote:
>> 
>> Hi Daniel,
>> 
>> The curve and the instrument you are pricing are independent: curve is only based on the instruments you use to build it and their tenor points, not on the cash flows of the instrument you are pricing with it.
>> 
>> If you don’t have spot quotes that go that far, I believe you can enable extrapolation.
>> 
>> Hope it helps.
>> 
>> Amine Ifri
>> 
>>> On 19 Sep 2020, at 12:05, Daniel Lobo <dan...@gm...> wrote:
>>> 
>>> Hi,
>>> 
>>> Thanks for your suggestion. I changed to below and it worked.
>>> 
>>> std::vector<QuantLib::Date> sr_dt;
>>>     std::vector<QuantLib::Real> sr_v;
>>>     sr_dt.push_back(Date(15, February, 2002));
>>>    sr_dt.push_back(Date(15, February, 2003));
>>>    sr_dt.push_back(Date(15, February, 2054));
>>>    sr_v.push_back(0);
>>>    sr_v.push_back(1.5/100);
>>>    sr_v.push_back(2/100);
>>> 
>>>       Handle<YieldTermStructure> rhTermStructure(
>>>           ext::make_shared<ZeroCurve>(sr_dt,
>>> sr_v,
>>> Actual365Fixed()
>>> ));
>>> 
>>> But my question is, shouldnt the curve automatically extrapolated
>>> automatically to the last cash-flow date?
>>> 
>>> What I should do if I dont have spot-quoted till that far?
>>> 
>>>> On Sat, 19 Sep 2020 at 16:28, Amine Ifri <ami...@gm...> wrote:
>>>> 
>>>> Hi Daniel,
>>>> 
>>>> I believe the error is due to an initial check on the term structure that fails because The last tenor on the curve is less than the maturity date of your instrument/ underlying swap.
>>>> 
>>>> I would try setting the last tenor on the curve to be longer than the last point on your instrument.
>>>> 
>>>> Let me know how it goes !
>>>> 
>>>> Amine Ifri
>>>> 
>>>>>> On 19 Sep 2020, at 11:27, Daniel Lobo <dan...@gm...> wrote:
>>>>> 
>>>>> Hi,
>>>>> 
>>>>> I was replicating the examples as given in
>>>>> https://github.com/lballabio/QuantLib/blob/master/Examples/BermudanSwaption/BermudanSwaption.cpp.
>>>>> 
>>>>> However I changed the Term structure curve as below -
>>>>> 
>>>>> Asin the file -
>>>>> 
>>>>> Handle<YieldTermStructure> rhTermStructure(
>>>>> ext::make_shared<FlatForward>(
>>>>> settlementDate, Handle<Quote>(flatRate),
>>>>> Actual365Fixed()));
>>>>> 
>>>>> But I changed to -
>>>>> 
>>>>> Handle<YieldTermStructure> rhTermStructure1(
>>>>>          ext::make_shared<FlatForward>(
>>>>>                    settlementDate, Handle<Quote>(flatRate),
>>>>>                                    Actual365Fixed()));
>>>>> 
>>>>>       std::vector<QuantLib::Date> sr_dt;
>>>>>    std::vector<QuantLib::Real> sr_v;
>>>>>    sr_dt.push_back(Date(15, February, 2002));
>>>>>   sr_dt.push_back(Date(15, February, 2003));
>>>>>   sr_dt.push_back(Date(15, February, 2004));
>>>>>   sr_v.push_back(0);
>>>>>   sr_v.push_back(1.5/100);
>>>>>   sr_v.push_back(2/100);
>>>>> 
>>>>>      Handle<YieldTermStructure> rhTermStructure(
>>>>>          ext::make_shared<ZeroCurve>(sr_dt,
>>>>> sr_v,
>>>>> Actual365Fixed()
>>>>> ));
>>>>> 
>>>>> With this change I failed to generate any value. I received error -
>>>>> 
>>>>> 1st leg: time (2.01096) is past max curve time (2)
>>>>> 
>>>>> Any insight why I get this error and how to resolve this would be
>>>>> really helpful.
>>>>> 
>>>>> Thanks for your time
>>>>> 
>>>>> 
>>>>> _______________________________________________
>>>>> QuantLib-users mailing list
>>>>> Qua...@li...
>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users