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From: v17 <var...@ya...> - 2014-01-20 07:12:40
|
Hi Everyone,
I have following piece of code which gives Exception "negative time (-0.5)
given"
vector <Real> &forwardRates;
const int size = liborRates.size();
vector<Date> liborDates(liborTenors.size());
for (int i = 0; i < size; i++)
{
curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
liborDates[i] = curDate;
}
yieldCurve = shared_ptr<YieldTermStructure>(new
InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
ycDef.cal));
yieldCurve->enableExtrapolation();
size = liborTenors.size();
forwardRates.clear();
forwardRates.resize(size);
try
{
forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
liborTenors[i] , ycDef.dc, Compounded, Annual);
}
catch(QuantLib::Error& e)
{
cout << e.what() << endl;
throw;
}
liborDates has below values -
July 20th, 2014
January 20th, 2015
January 20th, 2016
January 20th, 2017
January 20th, 2018
January 20th, 2019
January 20th, 2020
January 20th, 2021
January 20th, 2022
January 20th, 2023
January 20th, 2024
January 20th, 2029
while liborRates is
8.53854
8.40083
8.39311
8.44955
8.56089
8.65359
8.68869
8.80096
8.9133
8.74109
8.66277
8.98536
eval date is January 20th, 2014
What is causing negative time exception?
Thanks,
Varun
--
View this message in context: http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
Sent from the quantlib-dev mailing list archive at Nabble.com.
|
|
From: Luigi B. <lui...@gm...> - 2014-01-23 11:32:51
|
You should pass the evaluation date as the first date in liborDates.
You'll need a corresponding extra element in liborRates; just
replicate the first you have for constant rates from today to the
first actual Libor date.
Luigi
On Mon, Jan 20, 2014 at 8:12 AM, v17 <var...@ya...> wrote:
> Hi Everyone,
>
> I have following piece of code which gives Exception "negative time (-0.5)
> given"
>
> vector <Real> &forwardRates;
> const int size = liborRates.size();
> vector<Date> liborDates(liborTenors.size());
> for (int i = 0; i < size; i++)
> {
> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
> liborDates[i] = curDate;
> }
> yieldCurve = shared_ptr<YieldTermStructure>(new
> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
> ycDef.cal));
> yieldCurve->enableExtrapolation();
>
> size = liborTenors.size();
> forwardRates.clear();
> forwardRates.resize(size);
> try
> {
> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
> liborTenors[i] , ycDef.dc, Compounded, Annual);
> }
> catch(QuantLib::Error& e)
> {
> cout << e.what() << endl;
> throw;
> }
>
> liborDates has below values -
>
> July 20th, 2014
> January 20th, 2015
> January 20th, 2016
> January 20th, 2017
> January 20th, 2018
> January 20th, 2019
> January 20th, 2020
> January 20th, 2021
> January 20th, 2022
> January 20th, 2023
> January 20th, 2024
> January 20th, 2029
>
> while liborRates is
> 8.53854
> 8.40083
> 8.39311
> 8.44955
> 8.56089
> 8.65359
> 8.68869
> 8.80096
> 8.9133
> 8.74109
> 8.66277
> 8.98536
>
> eval date is January 20th, 2014
>
> What is causing negative time exception?
>
> Thanks,
> Varun
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
> Learn Why More Businesses Are Choosing CenturyLink Cloud For
> Critical Workloads, Development Environments & Everything In Between.
> Get a Quote or Start a Free Trial Today.
> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>
|
|
From: varun y. <var...@ya...> - 2014-01-27 04:50:25
|
Hi Luigi,
I passed evaluation date as the first date in liborDates. Also added corresponding rate in liborRates. But now it gives exception - "LogInterpolation primitive not implemented"
Below are new values -
liborDates -
January 24th, 2014
July 24th, 2014
January 24th, 2015
January 24th, 2016
January 24th, 2017
January 24th, 2018
January 24th, 2019
January 24th, 2020
January 24th, 2021
January 24th, 2022
January 24th, 2023
January 24th, 2024
January 24th, 2029
liborRates -
8.4
8.4955
8.36907
8.38416
8.47267
8.62786
8.69832
8.71107
8.85289
8.99607
8.80085
8.7099
9.00594
Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?
Thanks in advance!
On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio <lui...@gm...> wrote:
You should pass the evaluation date as the first date in liborDates.
You'll need a corresponding extra element in liborRates; just
replicate the first you have for constant rates from today to the
first actual Libor date.
Luigi
On Mon, Jan 20, 2014 at 8:12 AM, v17 <var...@ya...> wrote:
> Hi Everyone,
>
> I have following piece of code which gives Exception "negative time (-0.5)
> given"
>
> vector <Real> &forwardRates;
> const int size = liborRates.size();
> vector<Date> liborDates(liborTenors.size());
> for (int i = 0; i < size; i++)
> {
> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
> liborDates[i] = curDate;
> }
> yieldCurve = shared_ptr<YieldTermStructure>(new
>
InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
> ycDef.cal));
> yieldCurve->enableExtrapolation();
>
> size = liborTenors.size();
> forwardRates.clear();
> forwardRates.resize(size);
> try
> {
> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
> liborTenors[i] , ycDef.dc, Compounded, Annual);
> }
> catch(QuantLib::Error& e)
> {
> cout << e.what() << endl;
> throw;
> }
>
> liborDates has below values -
>
> July 20th, 2014
> January 20th, 2015
> January 20th, 2016
> January 20th, 2017
> January 20th, 2018
> January 20th, 2019
> January 20th, 2020
> January 20th, 2021
> January 20th, 2022
> January 20th, 2023
> January 20th, 2024
> January 20th, 2029
>
> while liborRates is
> 8.53854
> 8.40083
> 8.39311
> 8.44955
> 8.56089
> 8.65359
> 8.68869
> 8.80096
> 8.9133
> 8.74109
> 8.66277
> 8.98536
>
> eval date is January 20th, 2014
>
> What is causing negative time exception?
>
>
Thanks,
> Varun
>
>
>
> --
> View this message in context: http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
> ------------------------------------------------------------------------------
> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
> Learn Why More Businesses Are Choosing CenturyLink Cloud For
> Critical Workloads, Development Environments & Everything In Between.
> Get a Quote or Start a Free Trial Today.
> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio
> |
|
From: Luigi B. <lui...@gm...> - 2014-01-28 11:37:41
|
Yes. the curve is trying to integrate the forwards to get the
discounts, but the LogLinear interpolator doesn't provide a formula
for that. You'll have to choose another interpolation.
Luigi
On Mon, Jan 27, 2014 at 5:50 AM, varun yadav <var...@ya...> wrote:
> Hi Luigi,
>
> I passed evaluation date as the first date in liborDates. Also added
> corresponding rate in liborRates. But now it gives exception -
> "LogInterpolation primitive not implemented"
>
> Below are new values -
>
> liborDates -
>
> January 24th, 2014
> July 24th, 2014
> January 24th, 2015
> January 24th, 2016
> January 24th, 2017
> January 24th, 2018
> January 24th, 2019
> January 24th, 2020
> January 24th, 2021
> January 24th, 2022
> January 24th, 2023
> January 24th, 2024
> January 24th, 2029
>
> liborRates -
>
> 8.4
> 8.4955
> 8.36907
> 8.38416
> 8.47267
> 8.62786
> 8.69832
> 8.71107
> 8.85289
> 8.99607
> 8.80085
> 8.7099
> 9.00594
>
> Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?
>
> Thanks in advance!
>
>
> On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio
> <lui...@gm...> wrote:
> You should pass the evaluation date as the first date in liborDates.
> You'll need a corresponding extra element in liborRates; just
> replicate the first you have for constant rates from today to the
> first actual Libor date.
>
> Luigi
>
> On Mon, Jan 20, 2014 at 8:12 AM, v17 <var...@ya...> wrote:
>> Hi Everyone,
>>
>> I have following piece of code which gives Exception "negative time (-0.5)
>> given"
>>
>> vector <Real> &forwardRates;
>> const int size = liborRates.size();
>> vector<Date> liborDates(liborTenors.size());
>> for (int i = 0; i < size; i++)
>> {
>> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
>> liborDates[i] = curDate;
>> }
>> yieldCurve = shared_ptr<YieldTermStructure>(new
>> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
>> ycDef.cal));
>> yieldCurve->enableExtrapolation();
>>
>> size = liborTenors.size();
>> forwardRates.clear();
>> forwardRates.resize(size);
>> try
>> {
>> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
>> liborTenors[i] , ycDef.dc, Compounded, Annual);
>> }
>> catch(QuantLib::Error& e)
>> {
>> cout << e.what() << endl;
>> throw;
>> }
>>
>> liborDates has below values -
>>
>> July 20th, 2014
>> January 20th, 2015
>> January 20th, 2016
>> January 20th, 2017
>> January 20th, 2018
>> January 20th, 2019
>> January 20th, 2020
>> January 20th, 2021
>> January 20th, 2022
>> January 20th, 2023
>> January 20th, 2024
>> January 20th, 2029
>>
>> while liborRates is
>> 8.53854
>> 8.40083
>> 8.39311
>> 8.44955
>> 8.56089
>> 8.65359
>> 8.68869
>> 8.80096
>> 8.9133
>> 8.74109
>> 8.66277
>> 8.98536
>>
>> eval date is January 20th, 2014
>>
>> What is causing negative time exception?
>>
>> Thanks,
>> Varun
>>
>>
>>
>> --
>> View this message in context:
>> http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>
>>
>> ------------------------------------------------------------------------------
>> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
>> Learn Why More Businesses Are Choosing CenturyLink Cloud For
>> Critical Workloads, Development Environments & Everything In Between.
>> Get a Quote or Start a Free Trial Today.
>>
>> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
>> _______________________________________________
>> QuantLib-dev mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio
>>
>
>
--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>
|
|
From: Peter C. <pca...@gm...> - 2014-01-28 12:21:08
|
Luigi, just out of curiosity, in ForwardRateStructure there seems to
be a general purpose implementation to get the zero yield by
integration over the forwards. Wouldn't the situation here be a use
case for exactly this (i.e. catch the exception and invoke the base
class method instead) ?
best, Peter
On 28 January 2014 12:37, Luigi Ballabio <lui...@gm...> wrote:
> Yes. the curve is trying to integrate the forwards to get the
> discounts, but the LogLinear interpolator doesn't provide a formula
> for that. You'll have to choose another interpolation.
>
> Luigi
>
> On Mon, Jan 27, 2014 at 5:50 AM, varun yadav <var...@ya...> wrote:
>> Hi Luigi,
>>
>> I passed evaluation date as the first date in liborDates. Also added
>> corresponding rate in liborRates. But now it gives exception -
>> "LogInterpolation primitive not implemented"
>>
>> Below are new values -
>>
>> liborDates -
>>
>> January 24th, 2014
>> July 24th, 2014
>> January 24th, 2015
>> January 24th, 2016
>> January 24th, 2017
>> January 24th, 2018
>> January 24th, 2019
>> January 24th, 2020
>> January 24th, 2021
>> January 24th, 2022
>> January 24th, 2023
>> January 24th, 2024
>> January 24th, 2029
>>
>> liborRates -
>>
>> 8.4
>> 8.4955
>> 8.36907
>> 8.38416
>> 8.47267
>> 8.62786
>> 8.69832
>> 8.71107
>> 8.85289
>> 8.99607
>> 8.80085
>> 8.7099
>> 9.00594
>>
>> Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?
>>
>> Thanks in advance!
>>
>>
>> On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio
>> <lui...@gm...> wrote:
>> You should pass the evaluation date as the first date in liborDates.
>> You'll need a corresponding extra element in liborRates; just
>> replicate the first you have for constant rates from today to the
>> first actual Libor date.
>>
>> Luigi
>>
>> On Mon, Jan 20, 2014 at 8:12 AM, v17 <var...@ya...> wrote:
>>> Hi Everyone,
>>>
>>> I have following piece of code which gives Exception "negative time (-0.5)
>>> given"
>>>
>>> vector <Real> &forwardRates;
>>> const int size = liborRates.size();
>>> vector<Date> liborDates(liborTenors.size());
>>> for (int i = 0; i < size; i++)
>>> {
>>> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
>>> liborDates[i] = curDate;
>>> }
>>> yieldCurve = shared_ptr<YieldTermStructure>(new
>>> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
>>> ycDef.cal));
>>> yieldCurve->enableExtrapolation();
>>>
>>> size = liborTenors.size();
>>> forwardRates.clear();
>>> forwardRates.resize(size);
>>> try
>>> {
>>> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
>>> liborTenors[i] , ycDef.dc, Compounded, Annual);
>>> }
>>> catch(QuantLib::Error& e)
>>> {
>>> cout << e.what() << endl;
>>> throw;
>>> }
>>>
>>> liborDates has below values -
>>>
>>> July 20th, 2014
>>> January 20th, 2015
>>> January 20th, 2016
>>> January 20th, 2017
>>> January 20th, 2018
>>> January 20th, 2019
>>> January 20th, 2020
>>> January 20th, 2021
>>> January 20th, 2022
>>> January 20th, 2023
>>> January 20th, 2024
>>> January 20th, 2029
>>>
>>> while liborRates is
>>> 8.53854
>>> 8.40083
>>> 8.39311
>>> 8.44955
>>> 8.56089
>>> 8.65359
>>> 8.68869
>>> 8.80096
>>> 8.9133
>>> 8.74109
>>> 8.66277
>>> 8.98536
>>>
>>> eval date is January 20th, 2014
>>>
>>> What is causing negative time exception?
>>>
>>> Thanks,
>>> Varun
>>>
>>>
>>>
>>> --
>>> View this message in context:
>>> http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
>>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>>
>>>
>>> ------------------------------------------------------------------------------
>>> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
>>> Learn Why More Businesses Are Choosing CenturyLink Cloud For
>>> Critical Workloads, Development Environments & Everything In Between.
>>> Get a Quote or Start a Free Trial Today.
>>>
>>> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>
>>
>>
>>
>> --
>> <https://implementingquantlib.blogspot.com>
>> <https://twitter.com/lballabio
>>>
>>
>>
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
>
> ------------------------------------------------------------------------------
> WatchGuard Dimension instantly turns raw network data into actionable
> security intelligence. It gives you real-time visual feedback on key
> security issues and trends. Skip the complicated setup - simply import
> a virtual appliance and go from zero to informed in seconds.
> http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk
> _______________________________________________
> QuantLib-dev mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
|
|
From: Luigi B. <lui...@gm...> - 2014-02-01 15:47:11
|
Yes, possibly. In that case, we'd have to make the change in
InterpolatedForwardCurve<T>::zeroYieldImpl. But since we don't have
different exception types, we'd have to catch the exception and check
the error message it contains to decide whether to switch to the
base-class method (because if it's a different error, we'd want to let
it bubble up to client code). It wouldn't look very pretty :)
Another alternative would be to implement the numerical integration in
the LogLinear interpolation. I'm not sure that I like a situation in
which some curves are reasonably fast and others are much slower
depending on the interpolation method. Sure, the current situation is
that some interpolations don't work, so it might be an improvement
anyway...
(Oh, and a final note: while it makes sense to use log-linear with
discounts, because they're given by exp(-rt), I'm not sure that it
makes sense to use it with zero and forward rates.)
Luigi
On Tue, Jan 28, 2014 at 1:21 PM, Peter Caspers <pca...@gm...> wrote:
> Luigi, just out of curiosity, in ForwardRateStructure there seems to
> be a general purpose implementation to get the zero yield by
> integration over the forwards. Wouldn't the situation here be a use
> case for exactly this (i.e. catch the exception and invoke the base
> class method instead) ?
> best, Peter
>
> On 28 January 2014 12:37, Luigi Ballabio <lui...@gm...> wrote:
>> Yes. the curve is trying to integrate the forwards to get the
>> discounts, but the LogLinear interpolator doesn't provide a formula
>> for that. You'll have to choose another interpolation.
>>
>> Luigi
>>
>> On Mon, Jan 27, 2014 at 5:50 AM, varun yadav <var...@ya...> wrote:
>>> Hi Luigi,
>>>
>>> I passed evaluation date as the first date in liborDates. Also added
>>> corresponding rate in liborRates. But now it gives exception -
>>> "LogInterpolation primitive not implemented"
>>>
>>> Below are new values -
>>>
>>> liborDates -
>>>
>>> January 24th, 2014
>>> July 24th, 2014
>>> January 24th, 2015
>>> January 24th, 2016
>>> January 24th, 2017
>>> January 24th, 2018
>>> January 24th, 2019
>>> January 24th, 2020
>>> January 24th, 2021
>>> January 24th, 2022
>>> January 24th, 2023
>>> January 24th, 2024
>>> January 24th, 2029
>>>
>>> liborRates -
>>>
>>> 8.4
>>> 8.4955
>>> 8.36907
>>> 8.38416
>>> 8.47267
>>> 8.62786
>>> 8.69832
>>> 8.71107
>>> 8.85289
>>> 8.99607
>>> 8.80085
>>> 8.7099
>>> 9.00594
>>>
>>> Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?
>>>
>>> Thanks in advance!
>>>
>>>
>>> On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio
>>> <lui...@gm...> wrote:
>>> You should pass the evaluation date as the first date in liborDates.
>>> You'll need a corresponding extra element in liborRates; just
>>> replicate the first you have for constant rates from today to the
>>> first actual Libor date.
>>>
>>> Luigi
>>>
>>> On Mon, Jan 20, 2014 at 8:12 AM, v17 <var...@ya...> wrote:
>>>> Hi Everyone,
>>>>
>>>> I have following piece of code which gives Exception "negative time (-0.5)
>>>> given"
>>>>
>>>> vector <Real> &forwardRates;
>>>> const int size = liborRates.size();
>>>> vector<Date> liborDates(liborTenors.size());
>>>> for (int i = 0; i < size; i++)
>>>> {
>>>> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
>>>> liborDates[i] = curDate;
>>>> }
>>>> yieldCurve = shared_ptr<YieldTermStructure>(new
>>>> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
>>>> ycDef.cal));
>>>> yieldCurve->enableExtrapolation();
>>>>
>>>> size = liborTenors.size();
>>>> forwardRates.clear();
>>>> forwardRates.resize(size);
>>>> try
>>>> {
>>>> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
>>>> liborTenors[i] , ycDef.dc, Compounded, Annual);
>>>> }
>>>> catch(QuantLib::Error& e)
>>>> {
>>>> cout << e.what() << endl;
>>>> throw;
>>>> }
>>>>
>>>> liborDates has below values -
>>>>
>>>> July 20th, 2014
>>>> January 20th, 2015
>>>> January 20th, 2016
>>>> January 20th, 2017
>>>> January 20th, 2018
>>>> January 20th, 2019
>>>> January 20th, 2020
>>>> January 20th, 2021
>>>> January 20th, 2022
>>>> January 20th, 2023
>>>> January 20th, 2024
>>>> January 20th, 2029
>>>>
>>>> while liborRates is
>>>> 8.53854
>>>> 8.40083
>>>> 8.39311
>>>> 8.44955
>>>> 8.56089
>>>> 8.65359
>>>> 8.68869
>>>> 8.80096
>>>> 8.9133
>>>> 8.74109
>>>> 8.66277
>>>> 8.98536
>>>>
>>>> eval date is January 20th, 2014
>>>>
>>>> What is causing negative time exception?
>>>>
>>>> Thanks,
>>>> Varun
>>>>
>>>>
>>>>
>>>> --
>>>> View this message in context:
>>>> http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
>>>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>>>
>>>>
>>>> ------------------------------------------------------------------------------
>>>> CenturyLink Cloud: The Leader in Enterprise Cloud Services.
>>>> Learn Why More Businesses Are Choosing CenturyLink Cloud For
>>>> Critical Workloads, Development Environments & Everything In Between.
>>>> Get a Quote or Start a Free Trial Today.
>>>>
>>>> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
>>>> _______________________________________________
>>>> QuantLib-dev mailing list
>>>> Qua...@li...
>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>
>>>
>>>
>>>
>>> --
>>> <https://implementingquantlib.blogspot.com>
>>> <https://twitter.com/lballabio
>>>>
>>>
>>>
>>
>>
>>
>> --
>> <https://implementingquantlib.blogspot.com>
>> <https://twitter.com/lballabio>
>>
>> ------------------------------------------------------------------------------
>> WatchGuard Dimension instantly turns raw network data into actionable
>> security intelligence. It gives you real-time visual feedback on key
>> security issues and trends. Skip the complicated setup - simply import
>> a virtual appliance and go from zero to informed in seconds.
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>> _______________________________________________
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--
<https://implementingquantlib.blogspot.com>
<https://twitter.com/lballabio>
|
|
From: Peter C. <pca...@gm...> - 2014-02-01 17:13:47
|
thanks, yes I agree, this is more a design question than of real
practical interest. The log-linear interpolation in zeroyield is very
briefly discussed in the Hagan / West paper on yield curve
construction, playing in the same league as linear in zeroyield (which
is yet very popular I think) or linear in discount. Log-linear in
forwards is not even mentioned there, so probably we should not make
that work in QuantLib either :-)
On 1 February 2014 16:47, Luigi Ballabio <lui...@gm...> wrote:
> Yes, possibly. In that case, we'd have to make the change in
> InterpolatedForwardCurve<T>::zeroYieldImpl. But since we don't have
> different exception types, we'd have to catch the exception and check
> the error message it contains to decide whether to switch to the
> base-class method (because if it's a different error, we'd want to let
> it bubble up to client code). It wouldn't look very pretty :)
> Another alternative would be to implement the numerical integration in
> the LogLinear interpolation. I'm not sure that I like a situation in
> which some curves are reasonably fast and others are much slower
> depending on the interpolation method. Sure, the current situation is
> that some interpolations don't work, so it might be an improvement
> anyway...
>
> (Oh, and a final note: while it makes sense to use log-linear with
> discounts, because they're given by exp(-rt), I'm not sure that it
> makes sense to use it with zero and forward rates.)
>
> Luigi
>
>
>
> On Tue, Jan 28, 2014 at 1:21 PM, Peter Caspers <pca...@gm...> wrote:
>> Luigi, just out of curiosity, in ForwardRateStructure there seems to
>> be a general purpose implementation to get the zero yield by
>> integration over the forwards. Wouldn't the situation here be a use
>> case for exactly this (i.e. catch the exception and invoke the base
>> class method instead) ?
>> best, Peter
>>
>> On 28 January 2014 12:37, Luigi Ballabio <lui...@gm...> wrote:
>>> Yes. the curve is trying to integrate the forwards to get the
>>> discounts, but the LogLinear interpolator doesn't provide a formula
>>> for that. You'll have to choose another interpolation.
>>>
>>> Luigi
>>>
>>> On Mon, Jan 27, 2014 at 5:50 AM, varun yadav <var...@ya...> wrote:
>>>> Hi Luigi,
>>>>
>>>> I passed evaluation date as the first date in liborDates. Also added
>>>> corresponding rate in liborRates. But now it gives exception -
>>>> "LogInterpolation primitive not implemented"
>>>>
>>>> Below are new values -
>>>>
>>>> liborDates -
>>>>
>>>> January 24th, 2014
>>>> July 24th, 2014
>>>> January 24th, 2015
>>>> January 24th, 2016
>>>> January 24th, 2017
>>>> January 24th, 2018
>>>> January 24th, 2019
>>>> January 24th, 2020
>>>> January 24th, 2021
>>>> January 24th, 2022
>>>> January 24th, 2023
>>>> January 24th, 2024
>>>> January 24th, 2029
>>>>
>>>> liborRates -
>>>>
>>>> 8.4
>>>> 8.4955
>>>> 8.36907
>>>> 8.38416
>>>> 8.47267
>>>> 8.62786
>>>> 8.69832
>>>> 8.71107
>>>> 8.85289
>>>> 8.99607
>>>> 8.80085
>>>> 8.7099
>>>> 9.00594
>>>>
>>>> Is exception coming due to InterpolatedForwardCurve<LogLinear> ...?
>>>>
>>>> Thanks in advance!
>>>>
>>>>
>>>> On Thursday, January 23, 2014 5:02 PM, Luigi Ballabio
>>>> <lui...@gm...> wrote:
>>>> You should pass the evaluation date as the first date in liborDates.
>>>> You'll need a corresponding extra element in liborRates; just
>>>> replicate the first you have for constant rates from today to the
>>>> first actual Libor date.
>>>>
>>>> Luigi
>>>>
>>>> On Mon, Jan 20, 2014 at 8:12 AM, v17 <var...@ya...> wrote:
>>>>> Hi Everyone,
>>>>>
>>>>> I have following piece of code which gives Exception "negative time (-0.5)
>>>>> given"
>>>>>
>>>>> vector <Real> &forwardRates;
>>>>> const int size = liborRates.size();
>>>>> vector<Date> liborDates(liborTenors.size());
>>>>> for (int i = 0; i < size; i++)
>>>>> {
>>>>> curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
>>>>> liborDates[i] = curDate;
>>>>> }
>>>>> yieldCurve = shared_ptr<YieldTermStructure>(new
>>>>> InterpolatedForwardCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
>>>>> ycDef.cal));
>>>>> yieldCurve->enableExtrapolation();
>>>>>
>>>>> size = liborTenors.size();
>>>>> forwardRates.clear();
>>>>> forwardRates.resize(size);
>>>>> try
>>>>> {
>>>>> forwardRates[i] = yieldCurve->forwardRate(ycDef.evalDate, ycDef.evalDate +
>>>>> liborTenors[i] , ycDef.dc, Compounded, Annual);
>>>>> }
>>>>> catch(QuantLib::Error& e)
>>>>> {
>>>>> cout << e.what() << endl;
>>>>> throw;
>>>>> }
>>>>>
>>>>> liborDates has below values -
>>>>>
>>>>> July 20th, 2014
>>>>> January 20th, 2015
>>>>> January 20th, 2016
>>>>> January 20th, 2017
>>>>> January 20th, 2018
>>>>> January 20th, 2019
>>>>> January 20th, 2020
>>>>> January 20th, 2021
>>>>> January 20th, 2022
>>>>> January 20th, 2023
>>>>> January 20th, 2024
>>>>> January 20th, 2029
>>>>>
>>>>> while liborRates is
>>>>> 8.53854
>>>>> 8.40083
>>>>> 8.39311
>>>>> 8.44955
>>>>> 8.56089
>>>>> 8.65359
>>>>> 8.68869
>>>>> 8.80096
>>>>> 8.9133
>>>>> 8.74109
>>>>> 8.66277
>>>>> 8.98536
>>>>>
>>>>> eval date is January 20th, 2014
>>>>>
>>>>> What is causing negative time exception?
>>>>>
>>>>> Thanks,
>>>>> Varun
>>>>>
>>>>>
>>>>>
>>>>> --
>>>>> View this message in context:
>>>>> http://quantlib.10058.n7.nabble.com/Negative-price-with-Forward-Rates-tp14868.html
>>>>> Sent from the quantlib-dev mailing list archive at Nabble.com.
>>>>>
>>>>>
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>>>>> _______________________________________________
>>>>> QuantLib-dev mailing list
>>>>> Qua...@li...
>>>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>>>>
>>>>
>>>>
>>>>
>>>> --
>>>> <https://implementingquantlib.blogspot.com>
>>>> <https://twitter.com/lballabio
>>>>>
>>>>
>>>>
>>>
>>>
>>>
>>> --
>>> <https://implementingquantlib.blogspot.com>
>>> <https://twitter.com/lballabio>
>>>
>>> ------------------------------------------------------------------------------
>>> WatchGuard Dimension instantly turns raw network data into actionable
>>> security intelligence. It gives you real-time visual feedback on key
>>> security issues and trends. Skip the complicated setup - simply import
>>> a virtual appliance and go from zero to informed in seconds.
>>> http://pubads.g.doubleclick.net/gampad/clk?id=123612991&iu=/4140/ostg.clktrk
>>> _______________________________________________
>>> QuantLib-dev mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-dev
>
>
>
> --
> <https://implementingquantlib.blogspot.com>
> <https://twitter.com/lballabio>
|
