Re: [Quantlib-users] Error with PiecewiseConvexMonotoneZero

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

Hi, the error is probably generated here

https://github.com/lballabio/QuantLib/blob/master/ql/termstructures/yield/zerocurve.hpp#L168

so a workaround would be to avoid extrapolating the curve.

In fact I think the convex monotone interpolation was designed to be
applied to forward rates rather than zero yields, see

https://downloads.dxfeed.com/specifications/dxLibOptions/HaganWest.pdf

in section 6. But it seems only zero yield is exported as an
interpolation variable in SWIG at the moment

https://github.com/lballabio/QuantLib-SWIG/blob/master/SWIG/piecewiseyieldcurve.i#L168

We should add forward rate here I guess?

Best
Peter

On Sun, 24 Dec 2023 at 15:18, Quant <qua...@gm...> wrote:
>
> Hi QuantLib Users,
>
> I am trying to implement the Convex Monotone interpolation as shown below;
>
> curve = ql.PiecewiseConvexMonotoneZero(today, helpers, day_count)
> # curve = ql.PiecewiseLogMixedLinearCubicDiscount(today, helpers, day_count)
> # curve = ql.PiecewiseSplineCubicDiscount(today, helpers, day_count)
>
> # Enable Extrapolation:
> # This line enables extrapolation for the yield curve.
> # Extrapolation allows the curve to provide interest rates or rates beyond the observed data points,
> # which can be useful for pricing or risk management purposes.
> curve.enableExtrapolation()
>
> # Print the Zero Rates, Forward Rates and Discount Factors at node dates
> # print(pd.DataFrame(curve.nodes()))
> node_data = {'Date': [],
>              'Zero Rates': [],
>              'Forward Rates': [],
>              'Discount Factors': []}
>
> for dt in curve.dates():
>     node_data['Date'].append(dt)
>     node_data['Zero Rates'].append(curve.zeroRate(dt, day_count, ql.Compounded, ql.Annual).rate())
>     node_data['Forward Rates'].append(curve.forwardRate(dt, dt + ql.Period(1, ql.Years), day_count, ql.Annual).rate())
>     node_data['Discount Factors'].append(curve.discount(dt))
>
> node_dataframe = pd.DataFrame(node_data)
>
> And I am getting the following error;
>
> Traceback (most recent call last):
>   File "/Users/Library/CloudStorage/OneDrive-Personal/QuantLib Software/Valuations/IRS using Bond Bootstrapping/IRS using Bond Bootstrapping 3.py", line 87, in <module>
>     node_data['Forward Rates'].append(curve.forwardRate(dt, dt + ql.Period(1, ql.Years), day_count, ql.Annual).rate())
>   File "/usr/local/lib/python3.9/site-packages/QuantLib/QuantLib.py", line 8617, in forwardRate
>     return _QuantLib.YieldTermStructure_forwardRate(self, *args)
> RuntimeError: Convex-monotone spline derivative not implemented
>
> Is this a known issue with PiecewiseConvexMonotoneZero or it's an error that can be fixed in my code? If it can be fixed where do I need to fix?
>
> Thanks & regards,
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