Re: [Quantlib-users] Error with PiecewiseConvexMonotoneZero

[Luigi B. <lui...@gm...>]

Done in https://github.com/lballabio/QuantLib-SWIG/pull/603.  It will be in
version 1.33.

Luigi

On Wed, Dec 27, 2023 at 12:02 PM Peter Caspers <pca...@gm...>
wrote:

> Hi,
>
> what I meant is that we should export
>
>
> export_piecewise_curve(PiecewiseConvexMonotoneForward,ForwardRate,ConvexMonotone);
>
> instead of "PiecewiseConvexMonotoneZero" and use that.
>
> I am not sure if that explains your issues, since I never tried to use
> convex monotone interpolation with the zero yield as the interpolation
> variable.
>
> Thank you
> Peter
>
> On Tue, 26 Dec 2023 at 21:46, Quant <qua...@gm...> wrote:
> >
> > Hi Peter,
> >
> > Thanks for the feedback. The workaround you suggested of avoiding the
> extrapolation of the curve worked and also removing the "Forward Rate" in
> the node_data as the forward rate is not exported in SWIG as you indicated.
> I think it will be helpful if the forward rates can be exported in SWIG as
> well on the next updates.
> >
> > I did 2 plots for the PiecewiseLogCubicDiscount and the
> PiecewiseConvexMonotoneZero for both zero and forward rates curves (tried
> to attach the plots but the email became too large i.e., more than 100KB to
> be posted). The PiecewiseConvexMonotoneZero is not smooth (quite weird
> curve) and I was wondering if the one implemented in QuantLib is the
> "Monotone convex (unameliorated)" described in the Hagan and West Paper as
> the best interpolation method? Is it perhaps possible to add the smoothed
> version of the interpolation on the upcoming updates? Please note that the
> plots below are related to the bootstrapping of government bonds.
> >
> > On a separate note, I tried using PiecewiseConvexMonotoneZero on
> deposits + FRA + Swap Rates bootstrapping and I got the following error;
> >
> > Traceback (most recent call last):
> >   File "/Users/Library/CloudStorage/OneDrive-Personal/QuantLib
> Software/Valuations/Valuation of ZAR IRS/ZAR IRS Valuation 2.py", line 115,
> in <module>
> >     zero_rate = curve.zeroRate(date, day_count, ql.Annual).rate()
> >   File "/usr/local/lib/python3.9/site-packages/QuantLib/QuantLib.py",
> line 8610, in zeroRate
> >     return _QuantLib.YieldTermStructure_zeroRate(self, *args)
> > RuntimeError: 1st iteration: failed at 13th alive instrument, pillar May
> 28th, 2020, maturity May 28th, 2020, reference date February 28th, 2019:
> root not bracketed: f[-1,1] -> [-1.339261e-01,-1.181714e+01]
> >
> >
> > What could be the cause of the error on this one?
> >
> > Thanks and regards,
> >
> > On Mon, Dec 25, 2023 at 8:17 PM Peter Caspers <pca...@gm...>
> wrote:
> >>
> >> 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,
> >> > _______________________________________________
> >> > QuantLib-users mailing list
> >> > Qua...@li...
> >> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>
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