R: Hull White Calibration?

[Berardi Luca]

Luigi, Nando

I perhaps managed to find the exact location where the exception is thrown.
I list in the following the sequence of functions called from the point where the exception is thrown (I won't list the function arguments were needed, for brevity):

1) CapHelper::CapHelper()
2) Instrument::NPV()
3) Instrument::calculate()
4) LazyObject::calculate()
5) Swap::performCalculations() -----> secondLegNPV_ = ...
6) TermStructure::discount()
7) PiecewiseFlatForward::discountImpl()
8) ParCoupon::amount()
9) XiborManager::getHistory()

at this point the exception is thrown, and is subsequently catched by ParCoupon::amount() but no action is taken: there is only a comment "//fall through and forecast".

I also rebuilt all the QuantLib library from scratch, but there was no improvement.
I'm now including in the attachment the (self-contained) source code which is giving me pain...perhaps on someone else's machine is it going to work?

Ciao,
Luca

-----Messaggio originale-----
Da: Luigi Ballabio [[hidden email]]
Inviato: mercoledì 24 marzo 2004 15.47
A: Berardi Luca
Cc: [hidden email]
Oggetto: Re: [Quantlib-users] Hull White Calibration?

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

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[Liguo Song]

The attached program compiles and runs smoothly on RH Linux 9.0 with
QuantLib 0.3.5, the near-released version. Maybe, it is MS Windows
specific or solved by 0.3.5. The latter is less likely though.


Liguo



Berardi Luca wrote:

>
> Luigi, Nando
>
> I perhaps managed to find the exact location where the exception is
> thrown.
> I list in the following the sequence of functions called from the
> point where the exception is thrown (I won't list the function
> arguments were needed, for brevity):
>
> 1) CapHelper::CapHelper()
> 2) Instrument::NPV()
> 3) Instrument::calculate()
> 4) LazyObject::calculate()
> 5) Swap::performCalculations() -----> secondLegNPV_ = ...
> 6) TermStructure::discount()
> 7) PiecewiseFlatForward::discountImpl()
> 8) ParCoupon::amount()
> 9) XiborManager::getHistory()
>
> at this point the exception is thrown, and is subsequently catched by
> ParCoupon::amount() but no action is taken: there is only a comment
> "//fall through and forecast".
>
> I also rebuilt all the QuantLib library from scratch, but there was no
> improvement.
> I'm now including in the attachment the (self-contained) source code
> which is giving me pain...perhaps on someone else's machine is it
> going to work?
>
> Ciao,
> Luca
>
>
>
>
> -----Messaggio originale-----
> Da: Luigi Ballabio [mailto:[hidden email]]
> Inviato: mercoledì 24 marzo 2004 15.47
> A: Berardi Luca
> Cc: [hidden email]
> Oggetto: Re: [Quantlib-users] Hull White Calibration?
>
>
> 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
>
>
> *DISCLAIMER: Privileged/Confidential Information may be contained in
> this message and in any of its attachments (the "message"). If you are
> not the addressee indicated in this message (or responsible for
> delivery of the message to such person), you may not copy or deliver
> this message to anyone. In such case, you should destroy this message
> and kindly notify the sender by reply e-mail. The contents of this
> message shall be understood as neither given nor endorsed by Banca
> Profilo S.p.A., nor Profilo SGR S.p.A., nor Profilo Asset Management
> SGR S.p.A., nor Profilo Academy S.p.A.. Banca Profilo S.p.A., Profilo
> SGR S.p.A., Profilo Asset Management SGR S.p.A., Profilo Academy
> S.p.A. do not accept liability for corruption, interception or
> amendment, if any, or the consequences thereof. *
>
> *Il presente messaggio e/o i suoi allegati (di seguito il "messaggio")
> possono contenere informazioni privilegiate e/o confidenziali. Se non
> siete i destinatari indicati nel messaggio (o persona incaricata di
> inoltrare il messaggio al/i destinatario/i), non potete copiare o
> inoltrare il messaggio ad altri e siete invitati a distruggerlo
> dandone informazione al mittente a mezzo e-mail. Il contenuto del
> presente messaggio non deve essere considerato come trasmesso o
> autorizzato nè da Banca Profilo S.p.A., nè da Profilo SGR S.p.A., nè
> da Profilo Asset Management SGR S.p.A., nè da Profilo Academy S.p.A..
> Nè Banca Profilo S.p.A., nè Profilo SGR S.p.A., nè Profilo Asset
> Management SGR S.p.A., nè Profilo Academy S.p.A. si assumono alcuna
> responsabilità per eventuali intercettazioni, modifiche o
> danneggiamenti del presente messaggio e-mail e per le eventuali
> conseguenze.*
>
>
>  
>
>  
>

[Luigi Ballabio-2]

On 2004.03.24 18:37, Berardi Luca wrote:
> I perhaps managed to find the exact location where the exception is
> thrown.
>
> 9) XiborManager::getHistory()
>
> at this point the exception is thrown, and is subsequently catched by
> ParCoupon::amount() but no action is taken: there is only a comment
> "//fall through and forecast".

That's ok. The code first tries to fetch a stored fixing, and when it's  
told (by an exception) that the fixing isn't there it estimates it.

> I'm now including in the attachment the (self-contained) source code
> which is giving me pain...perhaps on someone else's machine is it  
> going to work?

I didn't really look at the results, but on my machine it compiled,  
linked and ran without errors in release mode with version 0.3.5 (to be  
released in a few days.) Now I'm trying with 0.3.4... ok, it doesn't  
give any error either. Maybe you can try on a coworker's machine?

Later,
        Luigi