HKUDS/Vibe-Trading · error · ValueError

notional must be strictly positive, got {notional}

Error message

notional must be strictly positive, got {notional}

What it means

cds_price scales all premium and protection cash flows by notional, so the notional must be strictly positive. Zero or negative notionals would produce meaningless (zero or sign-flipped) mark-to-market values and usually indicate an input bug.

Source

Thrown at agent/src/quantlib/credit.py:808

    Raises:
        ValueError: If spread_bps < 0, recovery_rate not in [0, 1), tenor_years <= 0, or notional <= 0.
    """
    spread_bps = _require_finite(spread_bps, "spread_bps")
    recovery_rate = _require_finite(recovery_rate, "recovery_rate")
    tenor_years = _require_finite(tenor_years, "tenor_years")
    risk_free_rate = _require_finite(risk_free_rate, "risk_free_rate")
    coupon_bps = _require_finite(coupon_bps, "coupon_bps")
    notional = _require_finite(notional, "notional")
    payment_frequency = _require_finite(payment_frequency, "payment_frequency")
    if spread_bps < 0.0:
        raise ValueError(f"spread_bps must be non-negative, got {spread_bps}")
    if not (0.0 <= recovery_rate < 1.0):
        raise ValueError(f"recovery_rate must be in [0.0, 1.0), got {recovery_rate}")
    if tenor_years <= 0.0:
        raise ValueError(f"tenor_years must be strictly positive, got {tenor_years}")
    if notional <= 0.0:
        raise ValueError(f"notional must be strictly positive, got {notional}")
    if payment_frequency <= 0:
        raise ValueError(f"payment_frequency must be positive, got {payment_frequency}")

    s_dec = spread_bps / 10_000.0
    c_dec = coupon_bps / 10_000.0
    lgd = 1.0 - recovery_rate

    # Implied hazard rate lambda ≈ s / LGD
    lambda_hazard = float(s_dec / lgd) if lgd > 0 else 0.0

    n_periods = max(1, int(round(tenor_years * payment_frequency)))
    t_grid = np.linspace(tenor_years / n_periods, tenor_years, n_periods)
    t_prev = np.r_[0.0, t_grid[:-1]]
    dts = t_grid - t_prev
    t_mid = 0.5 * (t_prev + t_grid)

    # Survival probabilities Q(t) = exp(-lambda * t)
    q_grid = np.exp(-lambda_hazard * t_grid)

View on GitHub (pinned to 80ffdda44c)

Solutions

1. Pass a positive notional in the same units you want the result (e.g. 10_000_000.0)
2. Fix upstream trade records that store zero or negative notionals
3. If direction matters, price with abs(notional) and flip the sign of the resulting MTM yourself

Example fix

# before
pv = cds_price(250, 5.0, notional=-10_000_000)

# after
pv = cds_price(250, 5.0, notional=10_000_000)

if notional <= 0.0:
    notional = abs(notional)  # normalize booked shorts
pv = cds_price(250.0, tenor_years=5.0, notional=notional)

def is_valid_notional(n: float) -> bool:
    return math.isfinite(n) and n > 0.0

try:
    pv = cds_price(250.0, tenor_years=5.0, notional=notional)
except ValueError as e:
    logger.error("invalid notional %s: %s", notional, e)
    pv = 0.0

When it happens

Trigger: Calling cds_price with notional = 0.0 or a negative amount, or forgetting the argument and having it default incorrectly in your wrapper code.

Common situations: Zero-initialized notional from an upstream struct; sign conventions from internal booking systems that represent seller-side as negative; passing notional in thousands/millions inconsistently.

Related errors

• recovery_rate must be in [0.0, 1.0), got {recovery_rate}
• payment_frequency must be positive, got {payment_frequency}
• survival_prob must be in (0.0, 1.0], got {survival_prob}
• tenor_years must be strictly positive, got {tenor_years}
• spread_bps must be non-negative, got {spread_bps}

AI-assisted analysis of HKUDS/Vibe-Trading@80ffdda44c (2026-08-28). Data as JSON: /api/errors/381c1154d87dab28. Report an issue: GitHub.