R: Re: Curve building with depo, futures and swaps
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R: Re: Curve building with depo, futures and swaps
 
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Hi Kim,
the code is in try /catch block.... The code is into a mex file (it receives data from Matlab and returns the results to Matlab) The strange thing is this: if I use just Depo and Futures I can build the yield curve and get discount factors, rates computed correctly by quantlib into Matlab without no problem, but when I added the swap rates, so I use the SwapRateHelper the system crashes and returns me this exception: QuantLib::Error at memory location 0x00c2d760.. And the same exception I have if I use bond instruments, when I go to implement the Schedule. Thanks in advance, ciao P >----Messaggio originale---- >Da: [hidden email] >Data: 28/07/2010 20.32 >A: "[hidden email]"<[hidden email]> >Cc: <[hidden email]> >Ogg: Re: [Quantlib-users] Curve building with depo, futures and swaps > > >Hi P, > >[hidden email] schrieb: >> Hello, >> >> I am just trying to build a curve by using the swap rates, futures and >> but I am having a very strange error (my system crash). Before re- installing I >> would like to know if someone of you see some error in my piece of code that I >> used. May be there is some error that I cant see. >> >you seemed to have a runtime error. Can you provide a standalone example >where we can reproduce the error? >BTW did you put your code in a try/catch block to catch the runtime error? > >-Kim > >> Legenda = instruments is just a vector containing Rates and prices for depo, >> swap and futures. >> Everithing looks works well till when I added the RateHelper for swap! In fact >> if I delete the swaps everithing works and I can use the PieceWise Yield >> curve. >> >> >> Rgrds >> >> P >> >> ----------------------------------------------------------------------------------------------------- >> Code Below >> ---------------------------------------------------------------------------- >> >> // Deposit instruments <--- >> deporates = instruments[nInst+i]; >> boost::shared_ptr<Quote> depoquotes(new SimpleQuote(deporates)); >> boost::shared_ptr<RateHelper> deporatehelper(new DepositRateHelper >> (Handle<Quote>(depoquotes), >> numtenor * tenor, >> fixingdays, >> cal, >> rollconvention, >> false, >> daycount)); >> instrumentCollection.push_back(deporatehelper); >> >> // Future instruments <--- >> futprices = instruments[nInst+i]; >> boost::shared_ptr<Quote> futquotes(new SimpleQuote(futprices)); >> Date expdate((int)instruments[4*nInst+i] + 1); >> Date iMMdates = IMM::nextDate(expdate); >> boost::shared_ptr<RateHelper> futratehelper(new FuturesRateHelper >> (futquotes), >> iMMdates, >> futmonths, >> cal, >> rollconvention, >> false, >> daycount)); >> instrumentCollection.push_back(futratehelper); >> >> // Swap instruments <--- >> swrates = instruments[nInst+i]; >> boost::shared_ptr<Quote> swquotes(new SimpleQuote(swrates)); >> boost::shared_ptr<RateHelper> swratehelper(new SwapRateHelper >> (swquotes), >> numtenor * Years, >> cal, >> swFixedLegFreq, // Annual >> rollconvention, // Unadjusted >> swFixedLegDc, // Thirty360(thirty360:: >> European) >> swFloatingLegIndex)); // Euribor6M >> instrumentCollection.push_back(swratehelper); >> >> // Yield curve constructor >> double tolerance = 1.0e-15; >> boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(new >> PiecewiseYieldCurve<Discount,LogLinear>(referencedate, >> instrumentCollection, >> daycount, >> tolerance)); >> RelinkableHandle<YieldTermStructure> discountCurve; >> >> >> This SF.net email is sponsored by Sprint >> What will you do first with EVO, the first 4G phone? >> Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first >> _______________________________________________ >> QuantLib-users mailing list >> [hidden email] >> https://lists.sourceforge.net/lists/listinfo/quantlib-users >> >> > > ------------------------------------------------------------------------------ The Palm PDK Hot Apps Program offers developers who use the Plug-In Development Kit to bring their C/C++ apps to Palm for a share of $1 Million in cash or HP Products. Visit us here for more details: http://p.sf.net/sfu/dev2dev-palm _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: R: Re: Curve building with depo, futures and swaps
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Hi P, [hidden email] schrieb: > Hi Kim, > > the code is in try /catch block.... > The code is into a mex file (it receives data from Matlab and returns the > results to Matlab) > The strange thing is this: > if I use just Depo and Futures I can build the yield curve and get discount > factors, rates computed correctly by quantlib into Matlab without no problem, > but when I added the swap rates, so I use the SwapRateHelper the system crashes > cant do anything. > and returns me this exception: > > QuantLib::Error at memory location 0x00c2d760.. > IMHO QuantLib throws every error with a message, indicating the location or the reason for the runtime error. Are you sure that this is the entire message? > And the same exception I have if I use bond instruments, when I go to > implement the Schedule. > Most of the problems i know come from the fact that the bootstrapping method cannot find a satisfied solution for finding a root. Perhaps you can go in this direction. HTH -Kim > Thanks in advance, > ciao > P > >> ----Messaggio originale---- >> Da: [hidden email] >> Data: 28/07/2010 20.32 >> A: "[hidden email]"<[hidden email]> >> Cc: <[hidden email]> >> Ogg: Re: [Quantlib-users] Curve building with depo, futures and swaps >> >> >> Hi P, >> >> [hidden email] schrieb: >> >>> Hello, >>> >>> I am just trying to build a curve by using the swap rates, futures and >>> > depos > >>> but I am having a very strange error (my system crash). Before re- >>> > installing I > >>> would like to know if someone of you see some error in my piece of code >>> > that I > >>> used. May be there is some error that I cant see. >>> >>> >> you seemed to have a runtime error. Can you provide a standalone example >> where we can reproduce the error? >> BTW did you put your code in a try/catch block to catch the runtime error? >> >> -Kim >> >> >>> Legenda = instruments is just a vector containing Rates and prices for >>> > depo, > >>> swap and futures. >>> Everithing looks works well till when I added the RateHelper for swap! In >>> > fact > >>> if I delete the swaps everithing works and I can use the PieceWise Yield >>> curve. >>> >>> >>> Rgrds >>> >>> P >>> >>> >>> > ----------------------------------------------------------------------------------------------------- > >>> Code Below >>> >>> > ---------------------------------------------------------------------------- > >>> // Deposit instruments <--- >>> deporates = instruments[nInst+i]; >>> boost::shared_ptr<Quote> depoquotes(new SimpleQuote(deporates)); >>> boost::shared_ptr<RateHelper> deporatehelper(new DepositRateHelper >>> (Handle<Quote>(depoquotes), >>> numtenor * tenor, >>> fixingdays, >>> cal, >>> rollconvention, >>> false, >>> daycount)); >>> instrumentCollection.push_back(deporatehelper); >>> >>> // Future instruments <--- >>> futprices = instruments[nInst+i]; >>> boost::shared_ptr<Quote> futquotes(new SimpleQuote(futprices)); >>> Date expdate((int)instruments[4*nInst+i] + 1); >>> Date iMMdates = IMM::nextDate(expdate); >>> boost::shared_ptr<RateHelper> futratehelper(new FuturesRateHelper >>> > (Handle<Quote> > >>> (futquotes), >>> iMMdates, >>> futmonths, >>> cal, >>> rollconvention, >>> false, >>> daycount)); >>> instrumentCollection.push_back(futratehelper); >>> >>> // Swap instruments <--- >>> swrates = instruments[nInst+i]; >>> boost::shared_ptr<Quote> swquotes(new SimpleQuote(swrates)); >>> boost::shared_ptr<RateHelper> swratehelper(new SwapRateHelper >>> > (Handle<Quote> > >>> (swquotes), >>> numtenor * Years, >>> cal, >>> swFixedLegFreq, // Annual >>> rollconvention, // Unadjusted >>> swFixedLegDc, // Thirty360(thirty360:: >>> European) >>> swFloatingLegIndex)); // Euribor6M >>> instrumentCollection.push_back(swratehelper); >>> >>> // Yield curve constructor >>> double tolerance = 1.0e-15; >>> boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(new >>> PiecewiseYieldCurve<Discount,LogLinear>(referencedate, >>> instrumentCollection, >>> daycount, >>> tolerance)); >>> RelinkableHandle<YieldTermStructure> discountCurve; >>> >>> >>> > ------------------------------------------------------------------------------ > >>> This SF.net email is sponsored by Sprint >>> What will you do first with EVO, the first 4G phone? >>> Visit sprint.com/first -- http://p.sf.net/sfu/sprint-com-first >>> _______________________________________________ >>> QuantLib-users mailing list >>> [hidden email] >>> https://lists.sourceforge.net/lists/listinfo/quantlib-users >>> >>> >>> >> > > > > ------------------------------------------------------------------------------ The Palm PDK Hot Apps Program offers developers who use the Plug-In Development Kit to bring their C/C++ apps to Palm for a share of $1 Million in cash or HP Products. Visit us here for more details: http://p.sf.net/sfu/dev2dev-palm _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: R: Re: Curve building with depo, futures and swaps
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On Thu, 2010-07-29 at 21:34 +0200, Kim Kuen Tang wrote:
> [hidden email] schrieb: > > the code is in try /catch block.... > > > > and returns me this exception: > > > > QuantLib::Error at memory location 0x00c2d760.. > > > IMHO QuantLib throws every error with a message, indicating the location > or the reason for the runtime error. Are you sure that this is the > entire message? Yes, it seems like the error wasn't caught. What does your catch block do, and what kind of errors does it catch? Luigi -- Don't let school get in the way of your education. -- Mark Twain ------------------------------------------------------------------------------ The Palm PDK Hot Apps Program offers developers who use the Plug-In Development Kit to bring their C/C++ apps to Palm for a share of $1 Million in cash or HP Products. Visit us here for more details: http://p.sf.net/sfu/dev2dev-palm _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: R: Re: Curve building with depo, futures and swaps
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Hi tarpanelli, Luigi Ballabio schrieb: >> IMHO QuantLib throws every error with a message, indicating the location >> or the reason for the runtime error. Are you sure that this is the >> entire message? >> > > Yes, it seems like the error wasn't caught. What does your catch block > do, and what kind of errors does it catch? > just want to make sure that u know how to catch all exceptions. You need to add a catch block with this signature: catch(...) By doing this you will be sure that u really catch all and really all errors. # include <boost/cstdlib.hpp> int main() { try{ // ur code return boost::exit_success;; } catch(std::exception& e) { std::cout<<e.what(); return boost::exit_failure; } catch(...) { std::cout<<"UNKNOWN ERROR"; return boost::exit_failure; } } > Luigi > > > ------------------------------------------------------------------------------ This SF.net email is sponsored by Make an app they can't live without Enter the BlackBerry Developer Challenge http://p.sf.net/sfu/RIM-dev2dev _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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