Re: [Quantlib-dev] Facing app crash with zeroRate function

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

Hi Luigi,

I found the issue.

Code was incorrectly using PiecewiseYieldCurve, DepositeRate/SwapRateHelper instead of InterpolatedZeroCurve for zero rates

My bad. 

Sorry for that and thanks for looking :)

Thanks,
Varun Yadav



On Thursday, January 16, 2014 2:50 PM, Luigi Ballabio [via QuantLib] <ml-...@n7...> wrote:
 
Hello, 
    I'll run your code when I have some time, but in the meantime you 
can try catching the exception and printing out its message to see 
what the library is telling you, as in: 

try { 
    GetZeroRates(...); 
} catch (QuantLib::Error& e) { 
    cout << e.what() << endl; 
    throw; 
} 

Luigi 


On Thu, Jan 16, 2014 at 6:48 AM, v17 <[hidden email]> wrote: 

> 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<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. 
> 
> 
> 
> 
> -- 
> View this message in context: http://quantlib.10058.n7.nabble.com/Facing-app-crash-with-zeroRate-function-tp14853.html
> Sent from the quantlib-dev mailing list archive at Nabble.com. 
> 
> ------------------------------------------------------------------------------ 
> CenturyLink Cloud: The Leader in Enterprise Cloud Services. 
> Learn Why More Businesses Are Choosing CenturyLink Cloud For 
> Critical Workloads, Development Environments & Everything In Between. 
> Get a Quote or Start a Free Trial Today. 
> http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
> _______________________________________________ 
> QuantLib-dev mailing list 
> [hidden email] 
> https://lists.sourceforge.net/lists/listinfo/quantlib-dev


-- 
<https://implementingquantlib.blogspot.com> 
<https://twitter.com/lballabio> 

------------------------------------------------------------------------------ 
CenturyLink Cloud: The Leader in Enterprise Cloud Services. 
Learn Why More Businesses Are Choosing CenturyLink Cloud For 
Critical Workloads, Development Environments & Everything In Between. 
Get a Quote or Start a Free Trial Today. 
http://pubads.g.doubleclick.net/gampad/clk?id=119420431&iu=/4140/ostg.clktrk
_______________________________________________ 
QuantLib-dev mailing list 
[hidden email] 

https://lists.sourceforge.net/lists/listinfo/quantlib-dev


________________________________
 
If you reply to this email, your message will be added to the discussion below:http://quantlib.10058.n7.nabble.com/Facing-app-crash-with-zeroRate-function-tp14853p14854.html 
To unsubscribe from Facing app crash with zeroRate function, click here.
NAML



--
View this message in context: http://quantlib.10058.n7.nabble.com/Facing-app-crash-with-zeroRate-function-tp14853p14857.html
Sent from the quantlib-dev mailing list archive at Nabble.com.