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

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

OK some, further investigating lead me to believe the following:

1) The actual error is being thrown from the `discountingswapengine.cpp`
calculate routine specifically around these lines. The fact that the error
is showing 2nd leg implies to me that the loop fails at the second iteration
(there should be only two loops since there are only two legs). The only
code here that deals with Handles and pointers  from what I gather relate to
 the 'discountCurve_'. I am not too familiar with C++ but my guess is that
the offending piece of code is this statement: '**discountCurve_'. which
deals with dereferencing a pointer. I also noted that the Handle class has
overridden the '*' operator, so the net effect of this statement is unknown
to me. So my guess is that somehow the reference to the  discountcurve
pointer is being lost...or the error is within the CashFlows.

   for (Size i=0; i<arguments_.legs.size(); ++i) {
            try {
                results_.legNPV[i] = arguments_.payer[i] *
                    CashFlows::npv(arguments_.legs[i],
                                   **discountCurve_,
                                   includeRefDateFlows,
                                   settlementDate,
                                   results_.valuationDate);
                results_.legBPS[i] = arguments_.payer[i] *
                    CashFlows::bps(arguments_.legs[i],
                                   **discountCurve_,
                                   includeRefDateFlows,
                                   settlementDate,
                                   results_.valuationDate);
            } catch (std::exception &e) {
                QL_FAIL(io::ordinal(i+1) << " leg: " << e.what());
            }
            results_.value += results_.legNPV[i];
            try {
                Date d = CashFlows::startDate(arguments_.legs[i]);
                startDiscounts[i] = discountCurve_->discount(d);
            } catch (...) {
                startDiscounts[i] = Null<DiscountFactor>();
            }
}



On 25 October 2010 11:24, Ahmad Mahomed <ahm...@gm...> wrote:

> 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
>



-- 
Ahmad Mahomed