Re: Pricing of a bond with negative rates


Dirk Eddelbuettel
 

Salut Jean-Louis

On 17 March 2019 at 03:54, kumpelka78@gmail.com wrote:
| I tried to price a bond with negative rates (current economic context in eurozone...).
|
| I encounter this error :
|
| Error in FixedRateWithRebuiltCurve(bond, rates, schedule, calc, c(discountCurve$table$date),  : 
|
|   invalid value ( -0.003 ) at index 0
|
| I found these answers on StackOverflow but I don't understand how it contributes to correct the problem (especially, I don't understand if I need to install QuantLib "in addition to" the R package :
| https://stackoverflow.com/questions/51986978/rquantlib-fixedratebond-function-with-negative-rates
|
| Any help will be welcome !

I would try to distill out a self-contained C++ example and ask on the
quantlib side. Here in RQuantLib we really only expose the pricers and do
not alter them (hopefully -- by instantiating from we could of course
introduce subtle bugs in the wrapper/glue code).

Dirk

--
http://dirk.eddelbuettel.com | @eddelbuettel | edd@debian.org

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