[Quantlib-dev] Facing app crash with zeroRate function

[v17 <var...@ya...>]

Hi,

Request members help on the below issue -

I have following code in my project -

boost::shared_ptr<YieldTermStructure>
CYieldCurveUtils::MakeTermStructure(const vector<Rate> &liborRates, const
vector<Period> &liborTenors, YieldCurveDef &_ycDef, bool zeroRates ){

	ycDef = _ycDef;
	ycDef.evalDate = ycDef.cal.advance(ycDef.evalDate, -2, Days);

	const int size = liborRates.size();
	std::vector<shared_ptr&lt;RateHelper>> instruments;
	Period oneYear(1, Years);
	shared_ptr<Euribor> swapIndex(new Euribor(6 * Months));
	vector<Date> liborDates(liborTenors.size()); 
	Date curDate;
	if (!zeroRates){
		for (int idx  = 0; idx  < size; idx++){
			if (liborTenors[idx] < oneYear){
				shared_ptr<RateHelper> rateHelper(new
DepositRateHelper(liborRates[idx],liborTenors[idx],ycDef.fixingDays,ycDef.cal,
ycDef.bdc, ycDef.endOfMonth, ycDef.dc));
				instruments.push_back(rateHelper);
			}
			else {
					shared_ptr<RateHelper> rateHelper(new
SwapRateHelper(liborRates[idx],liborTenors[idx], ycDef.cal, ycDef.freq,
ycDef.bdc, ycDef.dc, swapIndex));
					instruments.push_back(rateHelper);
			}
		}
  			yieldCurve = shared_ptr<YieldTermStructure>(new
PiecewiseYieldCurve<Discount, LogLinear, IterativeBootstrap>(ycDef.evalDate,
instruments, ycDef.dc));
			yieldCurve->enableExtrapolation();
	}
	else{
		for (int i = 0; i < size; i++){
			curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
			liborDates[i] = curDate;
		}		
		yieldCurve = shared_ptr<YieldTermStructure>(new
InterpolatedZeroCurve<LogLinear>(liborDates, liborRates, ycDef.dc,
ycDef.cal));
		yieldCurve->enableExtrapolation();
	}
	return yieldCurve;
}


void GetZeroRates(const vector<Real> &liborRates, const vector<Period>
&liborTenors, vector <Real> &zeroRates, YieldCurveDef &_ycDef){
	boost::shared_ptr<YieldTermStructure> ptrYiedCurve =
MakeTermStructure(liborRates, liborTenors, _ycDef, true);
	int size = liborTenors.size();
	zeroRates.clear();
	zeroRates.resize(size);
	for (int i = 0; i < size; i++){
		zeroRates[i] = ptrYiedCurve->zeroRate(_ycDef.evalDate + liborTenors[i],
_ycDef.dc, Compounded, Annual);
		//std::cout << "Rate = " << yieldCurve->forwardRate(_ycDef.evalDate +
Period(1*Years), _ycDef.evalDate + Period(1*Years) + periods[i] , _ycDef.dc,
Compounded, Annual) << std::endl; 
	}

}


Program crashes when it hits zeroRate(...) function. Is it looking for
discountImpl function implementation? I am using InterpolatedZeroCurve which
provides the implementation for discountImpl and zeroYieldImpl functions. 




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