[Quantlib-dev] Exception in Bond::cleanPriceFromZSpread(...)

[Luca B. <luc...@gm...>]

Hi all,
the following code throws an exception when
bond.cleanPriceFromZSpread(...) is called.
The issue comes from the fact that, in this example, there's no
settlement adjustment, so the function
ZeroSpreadedTermStructure::zeroYieldImpl(Time t) needs to be evaluated
for t=0.

I got around this issue by adding the seemingly harmless

if(t==0.) return 1.;

at line 86 of file ql/termstructures/yield/zeroyieldstructure.hpp

Anyone has a better idea?

Luca


#include <ql/quantlib.hpp>
using namespace QuantLib;

int main(int, char* [])
{
  try {
    Calendar calendar = TARGET();
    Date todaysDate(30, Jun, 2008);
    Settings::instance().evaluationDate() = todaysDate;

    Schedule schedule = MakeSchedule(todaysDate, todaysDate + 10*Years,

Period(Annual), calendar, Unadjusted);
    std::vector<double> coupons(1, 0.07);

    FixedRateBond bond(0, 10000., schedule, coupons, Actual360(),
ModifiedFollowing);

    Handle<YieldTermStructure> tsCurve(boost::shared_ptr<FlatForward>(
                      new FlatForward(todaysDate, 0.05, Actual360(),
Compounded)));

    boost::shared_ptr<DiscountingBondEngine> engine(new
DiscountingBondEngine(tsCurve));
    bond.setPricingEngine(engine);

    bond.cleanPriceFromZSpread(0.0200, Actual360(), Compounded,
Annual);    // <- this throws
  }

  catch (std::exception& e) {
      std::cout << e.what() << std::endl;
  }
  return 1;
}