Negative rates

[Mfan85]

Hello all,

I'm new to R-Quantlib so trying to learn by examples.

I've just started with the sample below with the objective of pricing a ZCB given a swap structure with the first part having negative rates. I get the following error "Error in ZeroBondWithRebuiltCurve(bond, c(discountCurve$table$date), discountCurve$table$zeroRates, : invalid value (-0.0393288) at index 0" which seems related to the negative rates. Any idea if the RQuantlib version can handle negative rates?

params <- list(tradeDate=as.Date('2004-09-20'),
               settleDate=as.Date('2004-09-22'),
               dt=.25,
               interpWhat= "discount",
               interpHow="linear")
setEvaluationDate(as.Date("2004-09-20"))

## We got numerical issues for the spline interpolation if we add
## any on of these three extra futures, at least with QuantLib 0.9.7
## The curve data comes from QuantLib's Examples/Swap/swapvaluation.cpp
## Removing s2y helps, as kindly pointed out by Luigi Ballabio


tsQuotes <- list( 
                  s2y = -0.037125,  
                  s3y = 0.0398,
                  s5y = 0.0443,
                  s10y = 0.05165,
                  s15y = 0.055175)
times <- seq(0,10,.1)

setEvaluationDate(params$tradeDate)
discountCurve <- DiscountCurve(params, tsQuotes, times)

# price a zero coupon bond
bondparams <- list(faceAmount=100, issueDate=as.Date("2004-11-30"),
                   maturityDate=as.Date("2008-11-30"), redemption=100 )
dateparams <-list(settlementDays=1,
                  calendar="UnitedStates/GovernmentBond",
                  businessDayConvention=4)
ZeroCouponBond(bondparams, discountCurve, dateparams)

[boring-cyborg[bot]]

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[lballabio]

@eddelbuettel — pinging you since I'm not sure that you monitor this channel. Thanks!

[Mfan85]

Grazie Luigi

Appreciate your help since I'm struggling with this one. I saw some "solutions" like recompiling in cpp but I'm not familiar with this procedure.

Il ven 5 ago 2022, 19:27 Luigi Ballabio @.***> ha scritto:

@eddelbuettel https://github.com/eddelbuettel — pinging you since I'm not sure that you monitor this channel. Thanks!

— Reply to this email directly, view it on GitHub https://github.com/lballabio/QuantLib/issues/1449#issuecomment-1206682710, or unsubscribe https://github.com/notifications/unsubscribe-auth/A2MO6WWMKEPTSHIRQ7WSX2TVXVFHFANCNFSM55WTPGHA . You are receiving this because you authored the thread.Message ID: @.***>

[eddelbuettel]

Hi there. The RQuantLib "port" of (parts of) QuantLib to R has its own repo here: https://github.com/eddelbuettel/rquantlib We also have a (fairly slow) mailing list you could try: https://groups.io/g/rquantlib/topics

The Fixed Income routines were all contributed and "mostly" derived from the QuantLib C++ examples. They should work, but there can of course be sticky issues. From the top of my head, I think it should deal with negative rates as QL does but I don't have "proof".

[Mfan85]

Hi Dirk,

Thank you for your help. I'll try to rise the question in the groups you provided.

Best regards.

[eddelbuettel]

I just 'cleared' your flag as first-time poster (a common spam check) so the post is up, and I hope someone can help you. Replies and new posts by you will now go through immediately.

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