[Quantlib-dev] Option pricing BARONE-ADESI/WHALEY and negative discount rate

[Lawrence S. <law...@gm...>]

Hi,

I am still using QuantLib 1.22/Windows and testing negative discount rates
for all option pricing methods. I noticed if the discount rate is negative
(I used -1.2%) and Barone-Adesi/Whaley will crash (forward + displacement
(-3.875e+14 + 0) must be positive). All other methods seemed to produce
reasonable prices. If the rate is exactly zero there is no crash. Is this
an issue to fix or this is expected?

I cross-tested negative rate for  Barone-Adesi/Whaley using matlab/fin
toolkit and it worked there.

Thanks
Lawrence Sum