Re: [Quantlib-users] SOFR index runtime Error

[Mark <gr...@gm...>]

Jonathan and Peter,

Thank you for your response. If I used Euribo as a proxy to SOFR for
swaption calculation, will Euribo1m a better choice than Euribo6m?

Thanks,
Mark

On Sat, Oct 15, 2022 at 11:58 AM Peter Caspers <pca...@gm...>
wrote:

> 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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