[Quantlib-users] Negative Values as the rate of interest

[Daniel L. <dan...@gm...>]

Hi,

It appears like QL is failing to construct a term structure when some
spot-rates are supplied with Negative value. Below is my calculation -

from QuantLib import *

ZeroCurve([Date(1, 1, 2010), Date(1, 1, 2011), Date(1, 1, 2012)], [0,
-1, 1],Actual360(), UnitedStates(), Linear(), Simple)

WIth this, the error I obtained as -

File "<stdin>", line 1, in <module>

  File "QuantLib.py", line 24534, in __init__

    _QuantLib.ZeroCurve_swiginit(self, _QuantLib.new_ZeroCurve(*args))

RuntimeError: positive compound factor required

Your advice on how to handle this situation will be very appreciated.

Thanks for your time.