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Re: [Quantlib-users] empty Handle cannot be dereferenced exception
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From: Luigi B. <lui...@gm...> - 2023-04-13 15:39:02
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Yes, do push the code to the PR — thanks!
On Thu, Apr 13, 2023 at 5:32 PM Jake Heke <jak...@gm...> wrote:
> Hello Luigi,
>
> Thanks for the fast feedback - Yes, before discounting I am checking if
> the discount handle is empty. But the point is that the exception is
> returned immediately when I call the new constructor.
> It is not even arriving at the calculations, it is happening immediately.
> It is not even entering in the code of the constructor.
> The exception is just triggered immediately.
> Conversely I tested the constructor with a non-empty discounting curve and
> it is working fine.
> I paste here the complete code of the test, the FRA3 constructor is the
> new one that is failing.
> Maybe I am doing some mistakes:
>
> #include <ql/instruments/forwardrateagreement.hpp>
> #include <ql/indexes/ibor/euribor.hpp>
> #include <ql/termstructures/yield/flatforward.hpp>
> #include <ql/time/calendars/target.hpp>
> #include <ql/time/daycounters/actual360.hpp>
> #include <iostream>
>
> using namespace QuantLib;
>
> void printFRA(const ForwardRateAgreement& FRA) {
> std::cout << "FRA payoff amount on value date: " << FRA.amount() <<
> '\n';
> std::cout << "FRA Business day convention: " <<
> FRA.businessDayConvention() << '\n';
> std::cout << "FRA calendar: " << FRA.calendar() << '\n';
> std::cout << "FRA day counter: " << FRA.dayCounter() << '\n';
> std::cout << "FRA fixing date: " << FRA.fixingDate() << '\n';
> std::cout << "FRA forward rate: " << FRA.forwardRate() << '\n';
> std::cout << "FRA rate: " << FRA.forwardRate().rate() << '\n';
> std::cout << "FRA is expired: " << FRA.isExpired() << '\n';
> std::cout << "FRA NPV: " << FRA.NPV() << '\n' << '\n';
> }
>
> int main() {
> Rate euriborRate = 0.04;
> Rate strikeForwardRate = 0.05;
> Date today = Date(31, January, 2023);
> Settings::instance().evaluationDate() = today;
> Calendar calendar = TARGET();
> BusinessDayConvention businessDayConvention = ModifiedFollowing;
> bool endOfMonth = true;
> bool noIndexCoupon = false;
> Period tenor = Period(3, Months);
> DayCounter dayCounter = Actual360();
> Date valueDate = calendar.advance(today, Period(1, Months),
> businessDayConvention, endOfMonth);
> Date maturityDate = calendar.advance(valueDate, tenor,
> businessDayConvention, endOfMonth);
> Position::Type fraFwdType = Position::Long;
> Real fraNotional = 100.0;
> Natural fixingDays = 2;
> Natural settlementDays = 0;
>
> // simple Flat forward term structure for Euribor
> Handle<YieldTermStructure> euriborTermStructure(
> ext::make_shared<FlatForward>(today, euriborRate, dayCounter,
> Simple, Once));
> // creation of the Euribor pointer
> ext::shared_ptr<IborIndex> euribor3m(new
> Euribor3M(euriborTermStructure));
> // empty Yield Term structure
> Handle<YieldTermStructure> emptyTermStructure;
> // flat forward term structure
> Handle<YieldTermStructure> flatForwardTS(
> ext::make_shared<FlatForward>(settlementDays, calendar,
> euriborRate, dayCounter, Simple, Once));
>
> // FRA 1x4 creation
> ForwardRateAgreement FRA(valueDate,
> fraFwdType,
> strikeForwardRate,
> fraNotional,
> euribor3m);
> std::cout << "FRA test the constructor taking the index and using
> indexed coupon = true\n";
> printFRA(FRA);
>
> ForwardRateAgreement FRA2(valueDate,
> fraFwdType,
> strikeForwardRate,
> fraNotional,
> euribor3m,
> emptyTermStructure,
> noIndexCoupon);
> std::cout << "FRA test the constructor taking the index and using
> indexed coupon = false\n";
> printFRA(FRA2);
>
> // this is the new constructor failing, returning the exception
> ForwardRateAgreement FRA3(valueDate,
> maturityDate,
> fraFwdType,
> strikeForwardRate,
> fraNotional,
> flatForwardTS,
> fixingDays,
> businessDayConvention);
> std::cout << "FRA test the new constructor taking the term
> structure\n";
> printFRA(FRA3);
>
> return EXIT_SUCCESS;
> }
>
> If you prefer I can just push the code of the PR and then we can look also
> at the big picture.
> Thanks in advance for your time and your help.
>
>
> Il giorno gio 13 apr 2023 alle ore 15:55 Luigi Ballabio <
> lui...@gm...> ha scritto:
>
>> Hello Jake,
>> the bit of code that does the discounting should check if the
>> discount handle is empty. If it's not empty, it should use it; otherwise,
>> it should fall back to using the forecasting handle instead.
>>
>> Luigi
>>
>>
>> On Thu, Apr 13, 2023 at 3:11 PM Jake Heke <jak...@gm...> wrote:
>>
>>> Hi all,
>>> I am currently working on a pull request for class ForwardRateAgreement.
>>> I coded a new version of the constructor:
>>>
>>> ForwardRateAgreement(
>>> const Date& valueDate,
>>> const Date& maturityDate,
>>> Position::Type type,
>>> Rate strikeForwardRate,
>>> Real notionalAmount,
>>> Handle<YieldTermStructure> forecastCurve,
>>> Natural fixingDays,
>>> BusinessDayConvention businessDayConvention,
>>> Handle<YieldTermStructure> discountCurve =
>>> Handle<YieldTermStructure>());
>>>
>>> The last discountCurve it is used only if provided, otherwise the
>>> forecastCurve is used also for discounting.
>>> That's why I provided a default for it as discountCurve =
>>> Handle<YieldTermStructure>().
>>>
>>> Now, before submitting the PR I am trying to test some cases of the new
>>> constructor.
>>> Guess what? Unsurprisingly it is not working :-)
>>> If I try to create the FRA as:
>>>
>>> ForwardRateAgreement FRA3(valueDate,
>>> maturityDate,
>>> fraFwdType,
>>> strikeForwardRate,
>>> fraNotional,
>>> flatForwardTS,
>>> fixingDays,
>>> businessDayConvention);
>>>
>>> I am getting an exception in handle.hpp which is saying "empty Handle
>>> cannot be dereferenced". Here is the piece of code issuing the exception:
>>> template <class T>
>>> inline const ext::shared_ptr<T>& Handle<T>::operator->() const {
>>> QL_REQUIRE(!empty(), "empty Handle cannot be dereferenced");
>>> return link_->currentLink();
>>>
>>> I am getting the same exception even if I call the new constructor by
>>> passing explicitly the empty discount curve:
>>>
>>> ForwardRateAgreement FRA3(valueDate,
>>> maturityDate,
>>> fraFwdType,
>>> strikeForwardRate,
>>> fraNotional,
>>> flatForwardTS,
>>> fixingDays,
>>> businessDayConvention,
>>> Handle<YieldTermStructure>());
>>>
>>> What am I missing? Thanks in advance for your help.
>>> _______________________________________________
>>> QuantLib-users mailing list
>>> Qua...@li...
>>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>>
>>
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