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Pricing of a bond with negative rates

kumpelka78@...
 

Hello,

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 !

Thanks,
Jean-Louis

Dirk Eddelbuettel
 

Salut Jean-Louis

On 17 March 2019 at 03:54, kumpelka78@... 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

kumpelka78@...
 

Hello,

Any news from QuantLib ?

Thanks,
Jean-Louis

Dirk Eddelbuettel
 

On 26 March 2019 at 12:28, kumpelka78@... wrote:
| Any news from QuantLib ?

"You tell us". It is your itch to scratch (to borrow the common phrase about
motivation for open source) so I had suggested that you go and inquire. We
are volunteers here so you cannot really expect _us_ to do _your_ work for you.

Dirk

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

kumpelka78@...
 

I'm sorry for my misunderstanding.

I will dig the problem by myself and ask to QuantLib.

Jean-Louis