Re: [Quantlib-users] SOFR index runtime Error

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

Thank you Peter for your tip!

On Sun, Oct 16, 2022 at 3:26 AM Peter Caspers <pca...@gm...>
wrote:

> I'd use a tenor matching the coupon frequency of your swaption, e.g.
> Euribor3M if the SOFR payments are quarterly in the swap underlying
> the swaption. You can also attach a SOFR forecasting curve to the
> Euribor3M index. I guess that would in fact be a quite good
> approximation of a SOFR swaption, whether it references term SOFR or
> overnight SOFR.
> Thank you
> Peter
>
> On Sun, 16 Oct 2022 at 04:42, Mark <gr...@gm...> wrote:
> >
> > 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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