MarketModelPathwiseDiscounter::getFactors() does not resize factors vector

[Andreas Spengler-2]

Hi,

in trying to use QLs MarketModel classes for implementing a Target
Redemption Note, I found that MarketModelPathwiseDiscounter::getFactors()
does not resize the "factors" parameter properly before writing into it,
thereby overwriting members of the calling object in my environment (i.e.
PathwiseAccountingEngine::numberCashFlowsThisIndex_).

With the following change, the error is avoided:

*** pathwisediscounter.cpp      2010-12-21 08:28:38.000000000 +0100
--- pathwisediscounter.cpp.orig 2010-12-21 08:30:11.000000000 +0100
***************
*** 59,66 ****
      Real preDF = Discounts[currentStep][before_];
      Real postDF = Discounts[currentStep][before_+1];

-     factors.resize(numberRates_ + 1);
-
      for (Size i=before_+1; i<numberRates_; ++i)
          factors[i+1] =0.0;

--- 59,64 ----


Rgds,
Andreas


------------------------------------------------------------------------------
Lotusphere 2011
Register now for Lotusphere 2011 and learn how
to connect the dots, take your collaborative environment
to the next level, and enter the era of Social Business.
http://p.sf.net/sfu/lotusphere-d2d
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Andreas Spengler-2]

I am sorry, the context diff is obviously wrong - it should be:

*** pathwisediscounter.cpp.orig 2009-12-30 10:57:50.000000000 +0100
--- pathwisediscounter.cpp      2010-12-21 09:32:05.000000000 +0100
***************
*** 57,62 ****
--- 57,64 ----
      Real preDF = Discounts[currentStep][before_];
      Real postDF = Discounts[currentStep][before_+1];

+     factors.resize(numberRates_ + 1);
+
      for (Size i=before_+1; i<numberRates_; ++i)
          factors[i+1] =0.0;





------------------------------------------------------------------------------
Lotusphere 2011
Register now for Lotusphere 2011 and learn how
to connect the dots, take your collaborative environment
to the next level, and enter the era of Social Business.
http://p.sf.net/sfu/lotusphere-d2d
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Luigi Ballabio]

On Tue, 2010-12-21 at 08:37 +0100, Andreas Spengler wrote:
> in trying to use QLs MarketModel classes for implementing a Target
> Redemption Note, I found that MarketModelPathwiseDiscounter::getFactors()
> does not resize the "factors" parameter properly before writing into it,
> thereby overwriting members of the calling object in my environment (i.e.
> PathwiseAccountingEngine::numberCashFlowsThisIndex_).

Andreas,
        I'm not sure, but I think it was a common theme of the market-model
implementation that vectors should be initialized at the correct size by
the calling code before being passed to methods (efficiency reasons and
such.)  Adding a resize() shouldn't cost much, but I'd leave the
decision to Mark Joshi as he's the main developer of that part of the
library (Mark, are you reading this? Any thoughts?)

Luigi


--

When all else fails, pour a pint of Guinness in the gas tank,
advance the spark 20 degrees, cry "God Save the Queen!", and pull
the starter knob.
-- MG "Series MGA" Workshop Manual



------------------------------------------------------------------------------
Learn how Oracle Real Application Clusters (RAC) One Node allows customers
to consolidate database storage, standardize their database environment, and,
should the need arise, upgrade to a full multi-node Oracle RAC database
without downtime or disruption
http://p.sf.net/sfu/oracle-sfdevnl
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Andreas Spengler-2]

Hi Luigi,

Am 24.12.2010 11:01, schrieb Luigi Ballabio:

> Andreas,
> I'm not sure, but I think it was a common theme of the market-model
> implementation that vectors should be initialized at the correct size by
> the calling code before being passed to methods (efficiency reasons and
> such.)  Adding a resize() shouldn't cost much, but I'd leave the
> decision to Mark Joshi as he's the main developer of that part of the
> library (Mark, are you reading this? Any thoughts?)

Agreed. The point here, however, is that the calling object
(PathwiseAccountingEngine), initializes the factor variable to be of
size "numberOfProducts"...

Rgds,

Andreas



------------------------------------------------------------------------------
Learn how Oracle Real Application Clusters (RAC) One Node allows customers
to consolidate database storage, standardize their database environment, and,
should the need arise, upgrade to a full multi-node Oracle RAC database
without downtime or disruption
http://p.sf.net/sfu/oracle-sfdevnl
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Mark joshi-2]

I am on holiday right now.

Andreas is probably right. I'll look into it when I get back to the office.

Happy Solstice!

Mark


--

Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

------------------------------------------------------------------------------
Learn how Oracle Real Application Clusters (RAC) One Node allows customers
to consolidate database storage, standardize their database environment, and,
should the need arise, upgrade to a full multi-node Oracle RAC database
without downtime or disruption
http://p.sf.net/sfu/oracle-sfdevnl
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev

[Mark joshi-2]

i have put a fix into PathwiseAccountingEngine

regards

Mark

On 27 December 2010 07:24, Mark joshi <[hidden email]> wrote:

I am on holiday right now.

Andreas is probably right. I'll look into it when I get back to the office.

Happy Solstice!

Mark


--

Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

--

Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com

------------------------------------------------------------------------------
Gaining the trust of online customers is vital for the success of any company
that requires sensitive data to be transmitted over the Web.   Learn how to
best implement a security strategy that keeps consumers' information secure
and instills the confidence they need to proceed with transactions.
http://p.sf.net/sfu/oracle-sfdevnl 
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev