[Quantlib-users] C# Error when trying to price instrument 'System.ApplicationException : 2nd leg: empty Handle cannot be dereferenced'

[Ahmad M. <ahm...@gm...>]

Hi,

I am receiving the following error when trying to price a 20x10 swap from a
bootstrapped curve.

"SwapRatesServiceTests.ImpliedRate_ForTwenty_x_TenYearSwap_ReturnsRate:
System.ApplicationException
: 2nd leg: empty Handle cannot be dereferenced"

I don't have the faintest idea where to start to debug this issue. Any
assistance will be highly appreciated.

IMPORTANT: I am using the C# Swig version of Quantlib, so my actual prod
code is as follows based on the swapvaluation.cpp example:

The test method:

        [Test]
        public void ImpliedRate_ForTwenty_x_TenYearSwap_ReturnsRate()
        {
            //Arrange
            var startingDate = new Date(10,Month.October,2030); // starting
date of 20x10yr swap
            var length= 10;
            repo.Setup(r =>
r.Read(It.IsAny<string>())).Returns(LoadSwapPoints()); // LoadSwapPoints
returns IEnumerable<RateHelpers>

            //Act
            service.ConstructSwapPoints(SettlementDate);
            var instrumentRate = service.ImpliedRate(startingDate, length);

            //Assert
            Assert.That(instrumentRate, Is.Not.Null); // this must change to
a value test

        }

This is part of the larger ConstructSwapPoints method

            var depoFRASwapInstruments = PointVector; // RateHelperVector
populated with RateHelpers
            DayCounter termStructureDayCounter = new
ActualActual(ActualActual.Convention.Actual365);

            QuoteHandleVector quotes = new QuoteHandleVector();
            DateVector quoteDates = new DateVector();

            py = CreatePiecewiseLinearCurve(settlementDate,
depoFRASwapInstruments, termStructureDayCounter, quotes, quoteDates);
            DiscountingTermStructure = new
RelinkableYieldTermStructureHandle(py); //RelinkableYieldTermStructureHandle
            //DiscountingTermStructure.linkTo(py); // alternate way

            PricingEngine = new
DiscountingSwapEngine(DiscountingTermStructure); // DiscountingSwapEngine



With the ImpliedRate method as follows (i have snipped some parts out due to
IP restrictions);

        public double ImpliedRate(Date startingDate, int length)
        {

            var swapMaturityDate = startingDate.Add(new Period(length,
TimeUnit.Years));
            var curveMaturityDate = py.maxDate();

            Schedule fixedSchedule = new Schedule(startingDate,
swapMaturityDate, new Period(Frequency.Quarterly), SouthAfricanCalender,
Convention, Convention, DateGeneration.Rule.Forward, false);
            Schedule floatSchedule = new Schedule(startingDate,
swapMaturityDate, new Period(Frequency.Quarterly), SouthAfricanCalender,
Convention, Convention, DateGeneration.Rule.Forward, false);

            VanillaSwap impliedSwap = new VanillaSwap(
                _VanillaSwap.Type.Payer,
                10000000.0,
                fixedSchedule,
                0.1,
                Actual365FixedDayCounter,
                floatSchedule,
                new Jibar(new Period(Frequency.Quarterly)),
                0,
                Actual365FixedDayCounter);

            impliedSwap.setPricingEngine(PricingEngine);

            return impliedSwap.fairRate();
        }


I hope my terminology is correct as the finance jargon is still new to me.

-- 
Ahmad Mahomed