Re: [Quantlib-dev] Serialising YieldTermStructure

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

What version of the examples?  In the most recent one, a few of the input
rates are negatives and log-linear interpolation can't handle them.

Luigi


On Tue, Apr 9, 2019 at 9:31 AM R S <raj...@ho...> wrote:

> Yes - I get an error on certain combinations of Trait and. Interpolator
>
> For example, with a declaration of PiecewiseYieldCurve<ForwardRate,
> BackwardFlat>, I can get a dump of dates and rates from the curve
>
> However, if I. change the declaration to PiecewiseYieldCurve<ForwardRate,
> LogLinear>, I get this error:
>
> terminate called after throwing an instance of 'QuantLib::Error'
> what(): 1st iteration: failed at 1st alive instrument, pillar September
> 29th, 2004, maturity September 29th, 2004, reference date September 22nd,
> 2004: invalid value (-1) at index 0
>
> Process finished with exit code 134 (interrupted by signal 6: SIGABRT)
>
> The data is based on the DepoSwap example from the Quantlib Examples
>
>
> Regards
> -RS
> On 8 Apr 2019, 16:42 +0100, Luigi Ballabio <lui...@gm...>,
> wrote:
>
> Yes, the bootstrap is done when the curve is first used.  That would be
> when it's first asked for rates or discounts during swap valuation.
>
> What do you mean when you say that some combinations don't work?  Do you
> get a compile-time error, or does the bootstrap fail at run-time?
>
> Luigi
>
>
> On Wed, Mar 27, 2019 at 10:18 PM R S <raj...@ho...> wrote:
>
>> Thanks for this tip on this serialisation. I attach the results of
>> running Swap pricing with PiecewiseYieldCurve<Discount,LogLinear> versus
>> InterpolatedDiscount<LogLinear> curve
>> (I get similar results when I compare PiecewiseYieldCurve<ForwardRate,BackwardFlat>
>> with InterpolatedDiscount<BackwardFlat>)
>>
>> As you can see, the curve generation time remains unchanged but the swap
>> valuation time is halved (all times in nanoseconds)
>>
>> Is this because the bootstrapping occurs only when NPV on the swap is
>> called?
>>
>> Also, I noticed that certain Trait’s work only with certain
>> interpolators. For example, ForwardRate trait only works with BackwardFlat.
>>
>> Are the valid combinations documented somewhere?
>>
>>
>>