R: Hull White Calibration?

[Berardi Luca]

Hi Luigi,

- the QuantLib version I'm using is 0.3.4 (currently using the debug libraries)
- when I step through the code in the Visual Studio 6.0 Debugger, I noticed that when each CapHelper is instantiated (pls refer to the code I previously sent out) at the line:

                                                Handle<CalibrationHelper> hCapHelper(new CapHelper(volaLength[i],
                                                                                rhMarketElement,index, rhTermStructure));

I get the following message in the Output Window: "First-chance exception in EXCEL.EXE (KERNEL32.DLL): 0xE06D7363: Microsoft C++ Exception."

The execution of the code then continues with no further problems until the end of the function. However when I step out of the function the debugger ends up pointing to some assembly code (presumably the Excel stuff) and I have to give up!

Continuing further the execution the Excel dialog box error window pops up with the message I reported in the previous message.

Thanks for help.

Luca

-----Messaggio originale-----
Da: Luigi Ballabio [[hidden email]]
Inviato: mercoledì 24 marzo 2004 12.09
A: Berardi Luca
Cc: '[hidden email]'
Oggetto: Re: [Quantlib-users] Hull White Calibration?

On 2004.03.24 11:21, Berardi Luca wrote:
> I'm getting some trouble with the Hull-White model calibration. I
> wrote the following piece of code, which I'm interfacing with Excel 
> through XLW:
>
> [snipped]
>
> Unfortunately the program throws a bunch of exceptions (seemingly
> neither of the QuantLib, nor of the STL type, since they are not 
> catched by the catch block above), but the method hModel_->calibrate
> () manages to find the parameters. After exiting the function 
> IRModel::Calibrate(..) however, Excel gives me a dialog box message 
> of the kind "Debug assertion failed"

Luca,
        seems like some kind of memory corruption. Hmm. Some 
preliminary questions:
- which QuantLib version are you using?
- do you have a chance to step through the code in a debugger?

Later,
        Luigi

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[Luigi Ballabio-2]

On 2004.03.24 12:34, Berardi Luca wrote:

> - the QuantLib version I'm using is 0.3.4 (currently using the debug
> libraries)
> - when I step through the code in the Visual Studio 6.0 Debugger, I
> noticed that when each CapHelper is instantiated (pls refer to the  
> code I previously sent out) at the line:
>
> Handle<CalibrationHelper>
> hCapHelper(new CapHelper(volaLength[i],
>     rhMarketElement,index, rhTermStructure));
> I get the following message in the Output Window: "First-chance
> exception in
> EXCEL.EXE (KERNEL32.DLL): 0xE06D7363: Microsoft C++ Exception."

Luca,
        can you step into the CapHelper instantiation? After executing  
the line above, does the Handle contain a non-null pointer?

Also, how does your code work if you use it without Excel in the  
picture---say, if you write a short main() to test it?

Later,
        Luigi