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

[Jonathan S. <sw...@gm...>]

Hi Lawrence,

Are you able to share a snippet of the source code that crashes for you?

On Mon, Jan 17, 2022 at 11:45 PM Lawrence Sum <law...@gm...>
wrote:

> 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
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