Does anyone know if it is possible to evaluate swaptions with negative interest rates with Quantlib?
blackEngine = ql.BlackSwaptionEngine(discountingTermStructure, ql.QuoteHandle(ql.SimpleQuote(vol))) swaption.setPricingEngine(blackEngine) swaptionnpv = swaption.NPV()
My vol value is an interpolated value from a volatility matrix which is equal to 0.34.
RuntimeError: forward + displacement (-0.00128788 + 0) must be positive
Thanks in advance