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

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

ZeroCurve is shorthand for InterpolatedZeroCurve<Linear>.  You can also
use InterpolatedZeroCurve<LogLinear> etc.

Luigi


On Sat, Sep 19, 2020 at 7:05 PM Daniel Lobo <dan...@gm...> wrote:

> Okay.
>
> Is there any way to set the extrapolation method like linear, non-linear
> etc?
>
> On Sat, 19 Sep 2020 at 22:29, Amine Ifri <ami...@gm...> wrote:
> >
> > 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
> >
>
>
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