I’m trying to build a EUR yield curve effective as of 2016-01-21 which has negative front-end swap rates. Here’s a link to the input data:
However, the OG curve builder is failing with the below error message:
Caused by: java.lang.IllegalArgumentException: xLower < minX
If I use version 1.8.2 of the ISDA CDS Model from cdsmodel.com and the same input data, the curve builds fine.
Negatives swap rates have been around since Q4 2015. Would it be possible to get a fix in the OG implementation?