ATM cap volatility curve construction

Hello,
I am creating a cap volatility curve (see the code below).
I have created correctly the yield term structure, the vector
atmVolatilityHandle (see the code) is well constructed (I used a cout in each
for step and the iATMVol used are well defined), but when I go to create the
capfloorATMVolCurve the following exception raise:
"not enough points to interpolate: at least 2 required, 0 provided"

iOptionTenors is an std::vector<Period> with the list of the option tenors
considered in the iATMVOL (e.g. 1Y,18M,2Y,3Y,4Y,5Y,6Y,7Y,8Y,9Y,10Y,12Y,15Y,20Y,
25Y,30Y); -> size ot iATMVol and iOptionTenors is the same.
iRefDate is the evaluationDate (which is the reference date of the yield term
structure).

Any suggestion?

Thanks and regards,
Paolo

/* START CODE */
std::vector<Handle<Quote>> atmVolatilityHandle;
atmVolatilityHandle.resize(nTenors);
int i=0;
for (i=0; i<nTenors; ++i) {
atmVolatilityHandle[i] = Handle<Quote>(boost::shared_ptr<Quote>(new SimpleQuote
(iATMVol[i])));
}
Handle<CapFloorTermVolCurve> capfloorATMVolCurve;
capfloorATMVolCurve = Handle<CapFloorTermVolCurve>(boost::
shared_ptr<CapFloorTermVolCurve>(new CapFloorTermVolCurve(iRefDate, iCal,
iRollConv, iOptionTenors, atmVolatilityHandle)));
/* END CODE */

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[Luigi Ballabio]

On Fri, 2010-08-13 at 09:16 +0200, [hidden email] wrote:
> I am creating a cap volatility curve (see the code below).
> I have created correctly the yield term structure, the vector
> atmVolatilityHandle (see the code) is well constructed (I used a cout in each
> for step and the iATMVol used are well defined), but when I go to create the
> capfloorATMVolCurve the following exception raise:
> "not enough points to interpolate: at least 2 required, 0 provided"

Can you send a self-contained example we can try to run?

Thanks,
        Luigi


--

No, I'm not interested in developing a powerful brain. All I'm after
is just a mediocre brain, something like the president of American
Telephone and Telegraph Company.
-- Alan Turing on the possibilities of a thinking machine, 1943.



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