Re: Pricing of a bond with negative rates
Salut Jean-Louistoggle quoted messageShow quoted text
On 17 March 2019 at 03:54, email@example.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 :
| 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).
http://dirk.eddelbuettel.com | @eddelbuettel | firstname.lastname@example.org