HestonDAXCalibration with dividends

[nabbleuser2008]

Hi,
 I've modified parts of the test-suite/hestonmodel.cpp to incorporate dividends. Specifically, I've changed the testDAXCalibration method to include some descrete divident values (paid at the same dates in the program) as follows (full source code attached):

vector<Real> dividends;

for (i = 0; i < 8; ++i) {

        dates.push_back(settlementDate + t[i]);

        rates.push_back(r[i]);

        dividends.push_back(0.1);

}


 Handle<YieldTermStructure> dividendTS(
     boost::shared_ptr<YieldTermStructure>(
     new ZeroCurve(dates, dividends, dayCounter)));


When I run the program, it aborts. On Linux, I get the following trace using gdb.
Continuing.
Testing Heston model calibration using DAX volatility data...

Program received signal SIGABRT, Aborted.
0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6
(gdb) where
#0  0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6
#1  0x0000002a96440abf in abort () from /lib64/tls/libc.so.6
#2  0x0000002a9606fca6 in __cxxabiv1::__terminate ()
   from /usr/lib64/libstdc++.so.5
#3  0x0000002a9606fcd3 in std::terminate () from /usr/lib64/libstdc++.so.5
#4  0x0000002a9606fdc3 in __cxa_throw () from /usr/lib64/libstdc++.so.5
#5  0x0000000000489b6e in InterpolatedZeroCurve (this=<value optimized out>,
    dates=<value optimized out>, yields=<value optimized out>,
    dayCounter=<value optimized out>, interpolator=<value optimized out>)
    at /QuantLib-0.8.1/ql/termstructures/yieldcurves/zerocurve.hpp:150
#6  0x000000000043d370 in main (argc=<value optimized out>,
    argv=<value optimized out>) at HestonDAXCalibration.cpp:73


Could someone point out what I'm doing wrong. Thank you very much.


HestonDAXCalibration.cpp

[Klaus Spanderen-2]

Hi,

please change it into

 vector<Real> dividends;
 dividends.push_back(0,1);

 for (i = 0; i < 8; ++i) {
         dates.push_back(settlementDate + t[i]);
         rates.push_back(r[i]);
         dividends.push_back(0.1);
 }

In addition I'd recommend to add a "global" try-catch block for QuantLib
exceptions around your program. E. g. then you get the correct error message

   std::exception: dates/yields count mismatch

for your original program.

hope that helps
 Klaus

On Tuesday 08 July 2008 19:10:03 cc2008 wrote:

> Hi,
>  I've modified parts of the test-suite/hestonmodel.cpp to incorporate
> dividends. Specifically, I've changed the testDAXCalibration method to
> include some descrete divident values (paid at the same dates in the
> program) as follows (full source code attached):
>
> vector<Real> dividends;
>
> for (i = 0; i < 8; ++i) {
>
>         dates.push_back(settlementDate + t[i]);
>
>         rates.push_back(r[i]);
>
>         dividends.push_back(0.1);
>
> }
>
>
>  Handle<YieldTermStructure> dividendTS(
>      boost::shared_ptr<YieldTermStructure>(
>      new ZeroCurve(dates, dividends, dayCounter)));
>
>
> When I run the program, it aborts. On Linux, I get the following trace
> using gdb.
> Continuing.
> Testing Heston model calibration using DAX volatility data...
>
> Program received signal SIGABRT, Aborted.
> 0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6
> (gdb) where
> #0  0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6
> #1  0x0000002a96440abf in abort () from /lib64/tls/libc.so.6
> #2  0x0000002a9606fca6 in __cxxabiv1::__terminate ()
>    from /usr/lib64/libstdc++.so.5
> #3  0x0000002a9606fcd3 in std::terminate () from /usr/lib64/libstdc++.so.5
> #4  0x0000002a9606fdc3 in __cxa_throw () from /usr/lib64/libstdc++.so.5
> #5  0x0000000000489b6e in InterpolatedZeroCurve (this=<value optimized
> out>, dates=<value optimized out>, yields=<value optimized out>,
>     dayCounter=<value optimized out>, interpolator=<value optimized out>)
>     at /QuantLib-0.8.1/ql/termstructures/yieldcurves/zerocurve.hpp:150
> #6  0x000000000043d370 in main (argc=<value optimized out>,
>     argv=<value optimized out>) at HestonDAXCalibration.cpp:73
>
>
> Could someone point out what I'm doing wrong. Thank you very much.
>
>
> http://www.nabble.com/file/p18343830/HestonDAXCalibration.cpp
> HestonDAXCalibration.cpp

--
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: [hidden email] (remove NOSPAM from the address)

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[nabbleuser2008]

Hi Klaus,
Thank you very much. I totally missed the mismatch in sizes of dates and dividends.

Thanks again.

Klaus Spanderen-2 wrote

Hi,

please change it into

 vector<Real> dividends;
 dividends.push_back(0,1);

 for (i = 0; i < 8; ++i) {
         dates.push_back(settlementDate + t[i]);
         rates.push_back(r[i]);
         dividends.push_back(0.1);
 }

In addition I'd recommend to add a "global" try-catch block for QuantLib
exceptions around your program. E. g. then you get the correct error message

   std::exception: dates/yields count mismatch

for your original program.

hope that helps
 Klaus

On Tuesday 08 July 2008 19:10:03 cc2008 wrote:
> Hi,
>  I've modified parts of the test-suite/hestonmodel.cpp to incorporate
> dividends. Specifically, I've changed the testDAXCalibration method to
> include some descrete divident values (paid at the same dates in the
> program) as follows (full source code attached):
>
> vector<Real> dividends;
>
> for (i = 0; i < 8; ++i) {
>
>         dates.push_back(settlementDate + t[i]);
>
>         rates.push_back(r[i]);
>
>         dividends.push_back(0.1);
>
> }
>
>
>  Handle<YieldTermStructure> dividendTS(
>      boost::shared_ptr<YieldTermStructure>(
>      new ZeroCurve(dates, dividends, dayCounter)));
>
>
> When I run the program, it aborts. On Linux, I get the following trace
> using gdb.
> Continuing.
> Testing Heston model calibration using DAX volatility data...
>
> Program received signal SIGABRT, Aborted.
> 0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6
> (gdb) where
> #0  0x0000002a9643f479 in raise () from /lib64/tls/libc.so.6
> #1  0x0000002a96440abf in abort () from /lib64/tls/libc.so.6
> #2  0x0000002a9606fca6 in __cxxabiv1::__terminate ()
>    from /usr/lib64/libstdc++.so.5
> #3  0x0000002a9606fcd3 in std::terminate () from /usr/lib64/libstdc++.so.5
> #4  0x0000002a9606fdc3 in __cxa_throw () from /usr/lib64/libstdc++.so.5
> #5  0x0000000000489b6e in InterpolatedZeroCurve (this=<value optimized
> out>, dates=<value optimized out>, yields=<value optimized out>,
>     dayCounter=<value optimized out>, interpolator=<value optimized out>)
>     at /QuantLib-0.8.1/ql/termstructures/yieldcurves/zerocurve.hpp:150
> #6  0x000000000043d370 in main (argc=<value optimized out>,
>     argv=<value optimized out>) at HestonDAXCalibration.cpp:73
>
>
> Could someone point out what I'm doing wrong. Thank you very much.
>
>
> http://www.nabble.com/file/p18343830/HestonDAXCalibration.cpp
> HestonDAXCalibration.cpp



--
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: [e-mail] (remove NOSPAM from the address)

-------------------------------------------------------------------------
Sponsored by: SourceForge.net Community Choice Awards: VOTE NOW!
Studies have shown that voting for your favorite open source project,
along with a healthy diet, reduces your potential for chronic lameness
and boredom. Vote Now at http://www.sourceforge.net/community/cca08
_______________________________________________
QuantLib-users mailing list
[e-mail]
https://lists.sourceforge.net/lists/listinfo/quantlib-users