Re: [Quantlib-users] SOFR index runtime Error

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

Hi Mark,

You can find the source of the error message here:
https://github.com/lballabio/QuantLib/blob/master/ql/processes/gsrprocess.cpp#L92-L93

Looks like your Sofr term structure somehow contains a forward from
0.915068 to 0.912329, which of course is not allowed, but it's a bit hard
to know why without seeing the rest of your code.


On Sat, Oct 15, 2022 at 11:58 AM Mark <gr...@gm...> wrote:

> 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
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