Curve building with depo, futures and swaps

Hello,

I am just trying to build a curve by using the swap rates, futures and depos
but I am having a very strange error (my system crash). Before re-installing I
would like to know if someone of you see some error in my piece of code that I
used. May be there is some error that I cant see.

Legenda = instruments is just a vector containing Rates and prices for depo,
swap and futures.
Everithing looks works well till when I added the RateHelper for swap! In fact
if I delete the swaps everithing works and I can use the PieceWise Yield
curve.


Rgrds

P

-----------------------------------------------------------------------------------------------------
Code Below
----------------------------------------------------------------------------

// Deposit instruments <---
deporates = instruments[nInst+i];
boost::shared_ptr<Quote> depoquotes(new SimpleQuote(deporates));
boost::shared_ptr<RateHelper> deporatehelper(new DepositRateHelper
(Handle<Quote>(depoquotes),
                                                     numtenor * tenor,
                                                     fixingdays,
                                                                  cal,
                                                     rollconvention,
                                                     false,
                                                     daycount));
  instrumentCollection.push_back(deporatehelper);
                                                                                                               
// Future instruments <---
futprices = instruments[nInst+i];
boost::shared_ptr<Quote> futquotes(new SimpleQuote(futprices));
Date expdate((int)instruments[4*nInst+i] + 1);
Date iMMdates = IMM::nextDate(expdate);
boost::shared_ptr<RateHelper> futratehelper(new FuturesRateHelper(Handle<Quote>
(futquotes),
                    iMMdates,
                                           futmonths,
                                           cal,
                                           rollconvention,
                                           false,
                                          daycount));
instrumentCollection.push_back(futratehelper);

// Swap instruments <---
swrates = instruments[nInst+i];
boost::shared_ptr<Quote> swquotes(new SimpleQuote(swrates));
boost::shared_ptr<RateHelper> swratehelper(new SwapRateHelper(Handle<Quote>
(swquotes),
                      numtenor * Years,
                                                           cal,
                                                          swFixedLegFreq,       // Annual
                                                          rollconvention,            // Unadjusted
                                                          swFixedLegDc,          // Thirty360(thirty360::
European)
                                                          swFloatingLegIndex));   // Euribor6M
instrumentCollection.push_back(swratehelper);

// Yield curve constructor
double tolerance = 1.0e-15;
boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(new
PiecewiseYieldCurve<Discount,LogLinear>(referencedate,
                                                                                               instrumentCollection,
                                                                                   daycount,
                                                                                   tolerance));
RelinkableHandle<YieldTermStructure> discountCurve;

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[Kim Kuen Tang]

Hi P,

[hidden email] schrieb:
> Hello,
>
> I am just trying to build a curve by using the swap rates, futures and depos
> but I am having a very strange error (my system crash). Before re-installing I
> would like to know if someone of you see some error in my piece of code that I
> used. May be there is some error that I cant see.
>  
you seemed to have a runtime error. Can you provide a standalone example
where we can reproduce the error?
BTW did you put your code in a try/catch block to catch the runtime error?

-Kim

> Legenda = instruments is just a vector containing Rates and prices for depo,
> swap and futures.
> Everithing looks works well till when I added the RateHelper for swap! In fact
> if I delete the swaps everithing works and I can use the PieceWise Yield
> curve.
>
>
> Rgrds
>
> P
>
> -----------------------------------------------------------------------------------------------------
> Code Below
> ----------------------------------------------------------------------------
>
> // Deposit instruments <---
> deporates = instruments[nInst+i];
> boost::shared_ptr<Quote> depoquotes(new SimpleQuote(deporates));
> boost::shared_ptr<RateHelper> deporatehelper(new DepositRateHelper
> (Handle<Quote>(depoquotes),
>     numtenor * tenor,
>     fixingdays,
>                          cal,
>     rollconvention,
>     false,
>     daycount));
>   instrumentCollection.push_back(deporatehelper);
>
> // Future instruments <---
> futprices = instruments[nInst+i];
> boost::shared_ptr<Quote> futquotes(new SimpleQuote(futprices));
> Date expdate((int)instruments[4*nInst+i] + 1);
> Date iMMdates = IMM::nextDate(expdate);
> boost::shared_ptr<RateHelper> futratehelper(new FuturesRateHelper(Handle<Quote>
> (futquotes),
>                     iMMdates,
>                   futmonths,
>                   cal,
>                   rollconvention,
>                   false,
>                  daycount));
> instrumentCollection.push_back(futratehelper);
>
> // Swap instruments <---
> swrates = instruments[nInst+i];
> boost::shared_ptr<Quote> swquotes(new SimpleQuote(swrates));
> boost::shared_ptr<RateHelper> swratehelper(new SwapRateHelper(Handle<Quote>
> (swquotes),
>                       numtenor * Years,
>                   cal,
>                  swFixedLegFreq,       // Annual
>                  rollconvention,            // Unadjusted
>                  swFixedLegDc,          // Thirty360(thirty360::
> European)
>                  swFloatingLegIndex));   // Euribor6M
> instrumentCollection.push_back(swratehelper);
>
> // Yield curve constructor
> double tolerance = 1.0e-15;
> boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(new
> PiecewiseYieldCurve<Discount,LogLinear>(referencedate,
>                       instrumentCollection,
>   daycount,
>   tolerance));
> RelinkableHandle<YieldTermStructure> discountCurve;
>
> ------------------------------------------------------------------------------
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>  

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