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Interest Rates: avoiding negative discount factors? #33

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alecloudenback opened this issue Jul 31, 2022 · 0 comments · Fixed by #35
Closed

Interest Rates: avoiding negative discount factors? #33

alecloudenback opened this issue Jul 31, 2022 · 0 comments · Fixed by #35

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@alecloudenback
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Currently, the implementation in the YieldCurve function will error if the discount factor becomes negative (e.g. turn the volatility parameter on the hull white tests up and it will encounter this scenario). Investigate alternative formulations which don't let the discount factor go negative.

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