Avoiding Negative-Time Errors in QuantLib Zero Curves

# QuantLib CDS pricing error: negative time given


# QuantLib CDS pricing error: negative time given












I am new to QuantLib, and I am using it to price CDS. Following is my python code:

```
from QuantLib import *

calendar = TARGET()

# Set evaluation date
todaysDate = Date(4, 2, 2019)
todaysDate = calendar.adjust(todaysDate)  # business day adjustment
Settings.instance().evaluationDate = todaysDate

# build zero curve
spotRates = [0.02514, 0.026285, 0.027326299999999998,
             0.0279, 0.029616299999999998, 0.026526,
             0.026028, 0.0258695, 0.025958000000000002,
             0.0261375, 0.026355, 0.0266255,
             0.026898, 0.0271745, 0.02741,
             0.027666, 0.028107000000000004, 0.028412000000000003,
             0.028447, 0.0284165]

spotPeriod = [Period(1, Months), Period(2, Months),
              Period(3, Months), Period(6, Months),
              Period(1, Years), Period(2, Years),
              Period(3, Years), Period(4, Years),
              Period(5, Years), Period(6, Years),
              Period(7, Years), Period(8, Years),
              Period(9, Years), Period(10, Years),
              Period(11, Years), Period(12, Years),
              Period(15, Years), Period(20, Years),
              Period(25, Years), Period(30, Years)]
spotDates = [todaysDate + x for x in spotPeriod]

risk_free_rate = YieldTermStructureHandle(
    ZeroCurve(spotDates, spotRates, Actual360())
)

# CDS parameters
recovery_rate = 0.4
hazard_rate = 0.02
maturity = Date(20, 12, 2023)

hazard_curve = FlatHazardRate(todaysDate, QuoteHandle(SimpleQuote(hazard_rate)), Actual360())

# reprice instruments
nominal = 1000000.0
probability = DefaultProbabilityTermStructureHandle(hazard_curve)

schedule = Schedule(todaysDate, maturity, Period(Quarterly),
                    calendar, Following, Following,
                    DateGeneration.TwentiethIMM, False)
cds = CreditDefaultSwap(Protection.Seller, nominal, quoted_spread,
                        schedule, Following, Actual360())
engine = MidPointCdsEngine(probability, recovery_rate, risk_free_rate)
cds.setPricingEngine(engine)

print("   NPV: %g" % cds.NPV())
```

I got following error from the last line of code:

```
RuntimeError: negative time (-0.0166667) given
```

I guess I need to do some date adjustments when I construct the yield curve. Because if I try to use FlatForward yield curve, there is no error.

But I am confused about the ideas of evaluation date and settlements date, as well as the spot dates when constructing yield curve. I am wondering why do I get this negative error here? The settlements days should be 3 days.

Thank you!

## Answer by Luigi Ballabio (score 2)

https://quant.stackexchange.com/a/43892

The `ZeroCurve` instance starts at the first date you passed it, that is, one month after today's date. Any date before that will be in the past as far as the curve is concerned.

To avoid this, you will need to pass in today's date (or the settlement date, if you want to discount to that) as the first date in `spotDates`. You'll also need a corresponding rate in `spotRates`; if you don't have a value for the very short rate, the 1-month rate might work as a proxy.