[Quantlib-users] NPV method fails to generate valuations

[Daniel L. <dan...@gm...>]

Hi,

I was replicating the examples as given in
https://github.com/lballabio/QuantLib/blob/master/Examples/BermudanSwaption/BermudanSwaption.cpp.

However I changed the Term structure curve as below -

Asin the file -

Handle<YieldTermStructure> rhTermStructure(
ext::make_shared<FlatForward>(
settlementDate, Handle<Quote>(flatRate),
Actual365Fixed()));

But I changed to -

Handle<YieldTermStructure> rhTermStructure1(
            ext::make_shared<FlatForward>(
                      settlementDate, Handle<Quote>(flatRate),
                                      Actual365Fixed()));

         std::vector<QuantLib::Date> sr_dt;
      std::vector<QuantLib::Real> sr_v;
      sr_dt.push_back(Date(15, February, 2002));
     sr_dt.push_back(Date(15, February, 2003));
     sr_dt.push_back(Date(15, February, 2004));
     sr_v.push_back(0);
     sr_v.push_back(1.5/100);
     sr_v.push_back(2/100);

        Handle<YieldTermStructure> rhTermStructure(
            ext::make_shared<ZeroCurve>(sr_dt,
  sr_v,
  Actual365Fixed()
));

With this change I failed to generate any value. I received error -

1st leg: time (2.01096) is past max curve time (2)

Any insight why I get this error and how to resolve this would be
really helpful.

Thanks for your time