Fixed bond - Empty Handle cannot be dereferenced
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Hello Everyone, I am trying to calculate the NPV of a straight bond. I
instantiated the yield curve and I relinked it to discountingTermStructure. But
when I call fixedRateBond.NPV(), I got this message “empty Handle cannot
be dereferenced”. Here is the code: boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( new
PiecewiseYieldCurve<Discount,LogLinear>( settlementDate,
depoSwapInstruments, termStructureDayCounter, std::vector<Handle<Quote>
>(), std::vector<Date>(), tolerance)); RelinkableHandle<YieldTermStructure> discountingTermStructure; boost::shared_ptr<PricingEngine> bondEngine( new
DiscountingBondEngine(discountingTermStructure)); fixedRateBond.setPricingEngine(bondEngine); std::cout << fixedRateBond.NPV() << std::endl; Someone would be so kind to give me some hints? Thank you in advance for your help. Gilles The information in this e-mail is confidential and may be legally privileged. It is intended solely for the addressee. Access to this e-mail by anyone else is unauthorized. If you have received this communication in error, please address with the subject heading "Received in error," send back to the sender, then delete the e-mail and destroy any copies of it. If you are not the intended recipient, any disclosure, copying, distribution or any action taken or omitted to be taken in reliance on it, is prohibited and may be unlawful. Any opinions or advice contained in this e-mail are subject to the terms and conditions expressed in the governing KPMG client engagement letter. Opinions, conclusions and other information in this e-mail and any attachments that do not relate to the official business of the firm are neither given nor endorsed by it. KPMG cannot guarantee that e-mail communications are secure or error-free, as information could be intercepted, corrupted, amended, lost, destroyed, arrive late or incomplete, or contain viruses. KPMG is the Luxembourg member firm of KPMG international. KPMG International is a Swiss cooperative that serves as a coordinating entity for a network of independent firms operating under the KPMG name. KPMG International provides no services to clients. Each member firm of KPMG International is a legally distinct and separate entity and each describes itself as such. Information about the structure and jurisdiction of your local KPMG member firm can be obtained from your KPMG representative. This footnote also confirms that this e-mail message has been swept by AntiVirus software for the presence of computer viruses. However, the ultimate responsibility for virus checking lies with the recipient of this e-mail. |
Re: Fixed bond - Empty Handle cannot be dereferenced
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On Mon, 2009-07-06 at 12:22 +0200, Bogaert, Gilles wrote:
> I am trying to calculate the NPV of a straight bond. I instantiated > the yield curve and I relinked it to discountingTermStructure. But > when I call fixedRateBond.NPV(), I got this message “empty Handle > cannot be dereferenced”. Here is the code: > > > > boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( > > new > PiecewiseYieldCurve<Discount,LogLinear>( > > > settlementDate, depoSwapInstruments, > > > termStructureDayCounter, > > > std::vector<Handle<Quote> >(), > > > std::vector<Date>(), > > > tolerance)); > > RelinkableHandle<YieldTermStructure> discountingTermStructure; > > boost::shared_ptr<PricingEngine> bondEngine( > > new > DiscountingBondEngine(discountingTermStructure)); > > fixedRateBond.setPricingEngine(bondEngine); > > std::cout << fixedRateBond.NPV() << std::endl; You're not linking the depo-swap curve to the handle in the above code. Luigi -- The nice thing about standards is that there are so many of them to choose from. -- Andrew S. Tanenbaum ------------------------------------------------------------------------------ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Dear All,
I got a question concerning the spread curve. I built at first a zero curve. Then I wanted to add a spread to this curve. My aim was to add a flat spread curve to pull up the previous zero curve. To do so, I built a spread vector with a value of 0.01684 and a date vector with the same dates than my bond schedule. I checked the rates [depoSwapTermStructureSpreaded->zeroRate(sch.at(i))] for the same dates than the schedule dates. I compared these spreads to the risk free curve and I deducted a spread of 0.0175-0.0176. Should I not receive a spread of 0.01684? What did I do wrong? Thank you in advance for your help. Best regards, Gilles ---------- Here it is the code: Rate MySpreadQuote = 0.01684; boost::shared_ptr<Quote> MySpreadRate (new SimpleQuote (MySpreadQuote)); boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( new PiecewiseYieldCurve<Discount,LogLinear>( settlementDate, depoSwapInstruments, termStructureDayCounter, std::vector<Handle<Quote> >(), std::vector<Date>(), tolerance)); RelinkableHandle<YieldTermStructure> discountingTermStructure; discountingTermStructure.linkTo(depoSwapTermStructure); RelinkableHandle<YieldTermStructure> MyHandle; MyHandle.linkTo(depoSwapTermStructure); std::vector<Handle<Quote> > MySpreadRateVector(sch.size()); std::vector<Date> mydates(sch.size()); /* (...) I fed my dates vector and spreads vector (...) */ for (int i=0; i < sch.size(); i++) { MySpreadRateVector[i] = Handle<Quote>(MySpreadRate); mydates[i]=sch.at(i); } boost::shared_ptr<YieldTermStructure> depoSwapTermStructureSpreaded( new PiecewiseZeroSpreadedTermStructure( MyHandle,MySpreadRateVector,mydates)); -------- The information in this e-mail is confidential and may be legally privileged. It is intended solely for the addressee. Access to this e-mail by anyone else is unauthorized. If you have received this communication in error, please address with the subject heading "Received in error," send back to the sender, then delete the e-mail and destroy any copies of it. If you are not the intended recipient, any disclosure, copying, distribution or any action taken or omitted to be taken in reliance on it, is prohibited and may be unlawful. Any opinions or advice contained in this e-mail are subject to the terms and conditions expressed in the governing KPMG client engagement letter. Opinions, conclusions and other information in this e-mail and any attachments that do not relate to the official business of the firm are neither given nor endorsed by it. KPMG cannot guarantee that e-mail communications are secure or error-free, as information could be intercepted, corrupted, amended, lost, destroyed, arrive late or incomplete, or contain viruses. KPMG is the Luxembourg member firm of KPMG international. KPMG International is a Swiss cooperative that serves as a coordinating entity for a network of independent firms operating under the KPMG name. KPMG International provides no services to clients. Each member firm of KPMG International is a legally distinct and separate entity and each describes itself as such. Information about the structure and jurisdiction of your local KPMG member firm can be obtained from your KPMG representative. This footnote also confirms that this e-mail message has been swept by AntiVirus software for the presence of computer viruses. However, the ultimate responsibility for virus checking lies with the recipient of this e-mail. ------------------------------------------------------------------------------ Enter the BlackBerry Developer Challenge This is your chance to win up to $100,000 in prizes! For a limited time, vendors submitting new applications to BlackBerry App World(TM) will have the opportunity to enter the BlackBerry Developer Challenge. See full prize details at: http://p.sf.net/sfu/blackberry _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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I am not sure whether this could help you, but you can check this out.
http://quantlib.org/reference/class_quant_lib_1_1_forward_spreaded_term_structure.html -k On Tue, Jul 7, 2009 at 8:39 AM, Bogaert, Gilles<[hidden email]> wrote: > Dear All, > > I got a question concerning the spread curve. I built at first a zero > curve. Then I wanted to add a spread to this curve. My aim was to add a > flat spread curve to pull up the previous zero curve. To do so, I built > a spread vector with a value of 0.01684 and a date vector with the same > dates than my bond schedule. > I checked the rates [depoSwapTermStructureSpreaded->zeroRate(sch.at(i))] > for the same dates than the schedule dates. I compared these spreads to > the risk free curve and I deducted a spread of 0.0175-0.0176. Should I > not receive a spread of 0.01684? What did I do wrong? > > Thank you in advance for your help. > > Best regards, > > Gilles > > ---------- > Here it is the code: > Rate MySpreadQuote = 0.01684; > boost::shared_ptr<Quote> MySpreadRate (new SimpleQuote > (MySpreadQuote)); > > boost::shared_ptr<YieldTermStructure> depoSwapTermStructure( > new PiecewiseYieldCurve<Discount,LogLinear>( > settlementDate, > depoSwapInstruments, > termStructureDayCounter, > std::vector<Handle<Quote> >(), > std::vector<Date>(), > tolerance)); > > RelinkableHandle<YieldTermStructure> discountingTermStructure; > discountingTermStructure.linkTo(depoSwapTermStructure); > RelinkableHandle<YieldTermStructure> MyHandle; > MyHandle.linkTo(depoSwapTermStructure); > > std::vector<Handle<Quote> > MySpreadRateVector(sch.size()); > std::vector<Date> mydates(sch.size()); > > /* (...) I fed my dates vector and spreads vector (...) */ > for (int i=0; i < sch.size(); i++) > { > MySpreadRateVector[i] = Handle<Quote>(MySpreadRate); > mydates[i]=sch.at(i); > } > > boost::shared_ptr<YieldTermStructure> > depoSwapTermStructureSpreaded( > new > PiecewiseZeroSpreadedTermStructure( > > MyHandle,MySpreadRateVector,mydates)); > -------- > The information in this e-mail is confidential and may be legally privileged. It is intended > solely for the addressee. Access to this e-mail by anyone else is unauthorized. If you have > received this communication in error, please address with the subject heading "Received in > error," send back to the sender, then delete the e-mail and destroy any copies of it. If you > are not the intended recipient, any disclosure, copying, distribution or any action taken or > omitted to be taken in reliance on it, is prohibited and may be unlawful. Any opinions or > advice contained in this e-mail are subject to the terms and conditions expressed in the > governing KPMG client engagement letter. Opinions, conclusions and other information in this > e-mail and any attachments that do not relate to the official business of the firm are > neither given nor endorsed by it. KPMG cannot guarantee that e-mail communications are secure > or error-free, as information could be intercepted, corrupted, amended, lost, destroyed, > arrive late or incomplete, or contain viruses. > > KPMG is the Luxembourg member firm of KPMG international. KPMG International is a Swiss > cooperative that serves as a coordinating entity for a network of independent firms operating > under the KPMG name. KPMG International provides no services to clients. Each member firm of > KPMG International is a legally distinct and separate entity and each describes itself as > such. Information about the structure and jurisdiction of your local KPMG member firm can be > obtained from your KPMG representative. > > This footnote also confirms that this e-mail message has been swept by AntiVirus software for > the presence of computer viruses. However, the ultimate responsibility for virus checking > lies with the recipient of this e-mail. > > > ------------------------------------------------------------------------------ > Enter the BlackBerry Developer Challenge > This is your chance to win up to $100,000 in prizes! For a limited time, > vendors submitting new applications to BlackBerry App World(TM) will have > the opportunity to enter the BlackBerry Developer Challenge. See full prize > details at: http://p.sf.net/sfu/blackberry > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > ------------------------------------------------------------------------------ Enter the BlackBerry Developer Challenge This is your chance to win up to $100,000 in prizes! For a limited time, vendors submitting new applications to BlackBerry App World(TM) will have the opportunity to enter the BlackBerry Developer Challenge. See full prize details at: http://p.sf.net/sfu/blackberry _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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In reply to this post by gbogaert
On Tue, 2009-07-07 at 14:39 +0200, Bogaert, Gilles wrote:
> I got a question concerning the spread curve. I built at first a zero > curve. Then I wanted to add a spread to this curve. My aim was to add a > flat spread curve to pull up the previous zero curve. To do so, I built > a spread vector with a value of 0.01684 and a date vector with the same > dates than my bond schedule. You might try adding the settlement date as the first date in the vector and removing earlier dates. I don't remember how the piecewise-spreaded curve works exactly, but if your first date is before the settlement, it might start integrating there and get an additional spread. Luigi -- There is no such thing as public opinion. There is only published opinion. -- Winston Churchill ------------------------------------------------------------------------------ Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day trial. Simplify your report design, integration and deployment - and focus on what you do best, core application coding. Discover what's new with Crystal Reports now. http://p.sf.net/sfu/bobj-july _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Thanks Luigi for your help. I will check as soon as possible.
Regards, Gilles -----Original Message----- From: Luigi Ballabio [mailto:[hidden email]] Sent: mardi, 28 juillet 2009 10:13 To: Bogaert, Gilles Cc: [hidden email] Subject: Re: [Quantlib-users] Spread Curve On Tue, 2009-07-07 at 14:39 +0200, Bogaert, Gilles wrote: > I got a question concerning the spread curve. I built at first a zero > curve. Then I wanted to add a spread to this curve. My aim was to add a > flat spread curve to pull up the previous zero curve. To do so, I built > a spread vector with a value of 0.01684 and a date vector with the same > dates than my bond schedule. You might try adding the settlement date as the first date in the vector and removing earlier dates. I don't remember how the piecewise-spreaded curve works exactly, but if your first date is before the settlement, it might start integrating there and get an additional spread. Luigi -- There is no such thing as public opinion. There is only published opinion. -- Winston Churchill The information in this e-mail is confidential and may be legally privileged. It is intended solely for the addressee. Access to this e-mail by anyone else is unauthorized. If you have received this communication in error, please address with the subject heading "Received in error," send back to the sender, then delete the e-mail and destroy any copies of it. If you are not the intended recipient, any disclosure, copying, distribution or any action taken or omitted to be taken in reliance on it, is prohibited and may be unlawful. Any opinions or advice contained in this e-mail are subject to the terms and conditions expressed in the governing KPMG client engagement letter. Opinions, conclusions and other information in this e-mail and any attachments that do not relate to the official business of the firm are neither given nor endorsed by it. KPMG cannot guarantee that e-mail communications are secure or error-free, as information could be intercepted, corrupted, amended, lost, destroyed, arrive late or incomplete, or contain viruses. KPMG is the Luxembourg member firm of KPMG international. KPMG International is a Swiss cooperative that serves as a coordinating entity for a network of independent firms operating under the KPMG name. KPMG International provides no services to clients. Each member firm of KPMG International is a legally distinct and separate entity and each describes itself as such. Information about the structure and jurisdiction of your local KPMG member firm can be obtained from your KPMG representative. This footnote also confirms that this e-mail message has been swept by AntiVirus software for the presence of computer viruses. However, the ultimate responsibility for virus checking lies with the recipient of this e-mail. ------------------------------------------------------------------------------ Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day trial. Simplify your report design, integration and deployment - and focus on what you do best, core application coding. Discover what's new with Crystal Reports now. http://p.sf.net/sfu/bobj-july _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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