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From: Mark <gr...@gm...> - 2022-10-15 02:55:28
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Hi, If I used index=Euribor6M(termstructure) as the yield curve I can calculate European swaption through GSR model, but once I changed the index to index=Sofr(termstructure), I will get below error: atmSwaption.NPV() Return _QuantLib.Intrument_NPV(self) RuntimeError: G(t,w) should be called with w (0.912329) not lesser than t(0.915068) Does anyone know what this error message means? Thanks, Mark |