Re: [Quantlib-dev] Problems with QL 0.9.7 and Cubic interpolation for curves

[Dirk E. <ed...@de...>]

On 29 October 2009 at 15:25, Luigi Ballabio wrote:
| On Sat, 2009-10-17 at 10:35 -0500, Dirk Eddelbuettel wrote:
| > While working on RQuantLib [1], Khanh and I discovered a number of numerical
| > issues with Cubic interpolation on yield curves.  The RQuantLib side of the
| > code that triggers it is actually pretty old and used to run so I am confused
| > as to when this changed.  
| > 
| > A relatively simple way to trigger the same issue is to modify the
| > swapvaluation.cpp example as follows:
| > 
| > edd@ron:~/svn/quantlib/Examples/Swap$ diff -u swapvaluation.cpp.orig swapvaluation.cpp
| > --- swapvaluation.cpp.orig      2008-08-01 03:55:43.000000000 -0500
| > +++ swapvaluation.cpp   2009-10-17 10:08:42.000000000 -0500
| > @@ -316,7 +316,7 @@
| >          depoSwapInstruments.push_back(s10y);
| >          depoSwapInstruments.push_back(s15y);
| >          boost::shared_ptr<YieldTermStructure> depoSwapTermStructure(
| > -            new PiecewiseYieldCurve<Discount,LogLinear>(
| > +            new PiecewiseYieldCurve<Discount,Cubic>(
| >                                            settlementDate, depoSwapInstruments,
| >                                            termStructureDayCounter,
| >                                            std::vector<Handle<Quote> >(),
| > 
| > and you get to trigger the bug as easily as 
| > 
| > edd@ron:~/svn/quantlib/Examples/Swap$ g++ -o newswap swapvaluation.cpp -lQuantLib -lm && ./newswap
| 
| Dirk,
| 	as of today, I couldn't reproduce the error on the 0.9.9 release branch
| (branches/R000909-branch in Subversion.)  The swap example runs
| successfully after the change.  Does it work for you? Of course it's not
| picking up some other library version you installed earlier, is it?

Confirmed!  I (finally) got a chance to build QL 0.9.9 (using 20091023
tarballs) and things work now.  Very good news.  

I only needed a few touchups to get RQuantLib to build with it too.

So I put 0.9.9~20091023 into Debian -- and may follow up with the Nov 2
variant you released today.  The full build and regression test takes well
over an hour but seemingly passed each and every test.  

Looking forward to QL 1.0!!

Dirk

-- 
Three out of two people have difficulties with fractions.