Re: [Quantlib-users] SOFR index runtime Error

[Peter C. <pca...@gm...>]

Just to add to what Jonathan said: QuantLib does not model SOFR
swaptions correctly at the moment, so even if the technical issue is
resolved you'll not get an accurate valuation.
Best, Peter

On Sat, 15 Oct 2022 at 11:23, Jonathan Sweemer <sw...@gm...> wrote:
>
> 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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