Re: [Quantlib-dev] Curve serialisation

[Luigi B. <lui...@gm...>]

alive_ = 2 means that you have two deposits.  dates[0] is the
reference date of the curve.  dates[1] is the pillar of the first
deposit.  What is the value of dates[2], i.e., the pillar of the
second deposit?  If it is equal to dates[1], which seems to be the
case, how are you initializing the deposits?

Luigi

On Thu, Mar 21, 2019 at 9:34 PM R S <raj...@ho...> wrote:
>
> I have been debugging the following use case
>
> Two DepositHelper constructed with the following rates and periods:
>    0.0382, 1 * Weeks
>    0.0372, 4 * Weeks
>
> with following parameters:
>    DayCounter dayCounter = Actual360();
>    BusinessDayConvention bizDayConv = ModifiedFollowing;
>    int fixingDays = 2;
>    Date settlementDate(1, September, 2010);
>    double tolerance = 1.0e-15;
>
> I am constructing a
>    PiecewiseYieldCurve<Discount, LogLinear>(settlementDate, helper, ActualActual(ActualActual::ISDA), tolerance)
>
> I am actually constructing the shared pointer as follows:
> boost::shared_ptr<PiecewiseYieldCurve<Discount, LogLinear>> depoSwapTermStructure(
>        new PiecewiseYieldCurve<Discount, LogLinear>(settlementDate, helper,
>                                                                                           ActualActual(ActualActual::ISDA),
>                                                                                           tolerance)
>  );
>
> All executes well except when i try and do this:
>
>  vector<Date> curvedates = depoSwapTermStructure->dates();
>
> The exception is:
> terminate called after throwing an instance of 'QuantLib::Error'
> what(): more than one instrument with pillar September 8th, 2010
> Process finished with exit code 134 (interrupted by signal 6: SIGABRT)
>
> This happens at line 111 (for loop) of iterativebootstrap.hpp
>
> At line 102, dates array is defined as:
>         dates.resize(alive_+1); where alive_ = 2
>
> firstDate is set to 40422 (1/Sep/2010) which becomes dates[0]
>
> The pillar date is set to 40429 (8/Sep/2010) on the DepositHelpers which becomes dates[1]
>
> which ends up satisfying this condition:
>             QL_REQUIRE(dates[i-1]!=dates[i],
> "more than one instrument with pillar " << dates[i]);
>
> Clearly I am missing an important step in the bootstrap before I extract the dates and rates out (I want to extract the forward rates to feed it back to an InterpolatedCurve to avoid repeating bootstrap)
>
> Any pointers would be appreciated
>
>
> Regards
> -RS
> On 13 Mar 2019, 11:57 +0000, Eric Ehlers , wrote:
>
> All three files received - curve_hydration.zip, curve_hydration.tar, and curve_hydration.tar.gz. I will take a look this weekend and report back here.
>
> Regards,
>
> Eric
>
> On 12/03/2019 20:32, R S wrote:
>
> zip was blocked, tar was too large. Trying to send as tar.gz
>
>
>
> Regards
> -RS
> On 11 Mar 2019, 15:10 +0000, Eric Ehlers <eri...@re...>, wrote:
>
> Would you mind sending over the smallest standalone program that recreates the error?
>
> Regards,
>
> Eric
>
> On 08/03/2019 21:16, R S wrote:
>
> As advised here
> http://quantlib.10058.n7.nabble.com/How-to-serialize-an-object-in-Quantlibxl-td763.html
>
> I am attempting to save date and rates from my curve in order to reconstruct it (avoid bootstrap)
>
> I am taking a pre-canned example with deposit and swap helpers
>
>     rates.push_back(0.0382);       qlperiods.push_back(5 * Days);
>     rates.push_back(0.0372);       qlperiods.push_back(1 * Months);
>     rates.push_back(0.037125);   qlperiods.push_back(2 * Years);
>
> (I have more but I have narrowed it to these to keep it simple)
>
> First two go into building DepositRateHelper and the last one, SwapRateHelper
>
> I then construct a PiecewiseYieldCurve<Discount, LogLinear>
>
> When I try to print the dates and rates from. this. depoSwap curve
>
>    vector<Date> curvedates = depoSwapTermStructure->dates();
>    vector<Real> curverates = depoSwapTermStructure->data();
>
>    vector<Real>::iterator ri = curverates.begin();
>    for (vector<Date>::iterator it = curvedates.begin(); it != curvedates.end(); it++) {
>        cout << *it << " : " << *ri << endl;
>        ri++;
>    }
>
> I keep getting this error
> terminate called after throwing an instance of 'QuantLib::Error'
> what(): more than one instrument with pillar March 19th, 2019
>
> Settlement is set to
>     Date settlementDate(1, September, 2010);
>
> The error stops if i comment out
>     rates.push_back(0.0382);       qlperiods.push_back(5 * Days);
>
> I am lost as to why
>
>
>
> Regards
> -RS
>
>
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