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Relinkable handle problem

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jojogh

Relinkable handle problem

I am now following the sample case bond to learn QuantLib. Then, I changed the Discount Yield Curve as my own one. But, i met the problem. Seems the class relinkable handle link to an empty discount curve, the result is all null much different from the sample case. What was the problem, am I following the right way to link the discount curve?

Hope someone can help me.

regards

Alex Zhang

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main.cpp (15K) Download Attachment

Luigi Ballabio

Re: Relinkable handle problem

Hello,
there are a few issues in your code:

1) the particular one you're having about an empty handle is because
you didn't set any curve to the liborTermStructure handle;
2) the null values are because you didn't set the evaluation date.
You define a today, but you're missing the

Settings::instance().evaluationDate() = today;

that will cause the calculations to be done at that date.
3) your discount curve spans three years, but the bond matures beyond
that date. You can either add more points, or extrapolate by adding
the instruction

disTS->enableExtrapolation();

before starting the calculations;
4) you'll need another Libor fixing for July 17 2009.

With the above changes, your program runs correctly.

Hope this helps,
Luigi

On Tue, May 21, 2013 at 7:31 AM, Yuanhao Zhang <[hidden email]> wrote:

> I am now following the sample case bond to learn QuantLib. Then, I changed
> the Discount Yield Curve as my own one. But, i met the problem. Seems the
> class relinkable handle link to an empty discount curve, the result is all
> null much different from the sample case. What was the problem, am I
> following the right way to link the discount curve?
> Hope someone can help me.
>
> regards
>
> Alex Zhang
>
> ------------------------------------------------------------------------------
> Try New Relic Now & We'll Send You this Cool Shirt
> New Relic is the only SaaS-based application performance monitoring service
> that delivers powerful full stack analytics. Optimize and monitor your
> browser, app, & servers with just a few lines of code. Try New Relic
> and get this awesome Nerd Life shirt! http://p.sf.net/sfu/newrelic_d2d_may
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

jojogh

Re: Relinkable handle problem

Hi Luigi,

I am trying to fix the the issues by following your instructions, and fixed 2,3,4 issue. But, I tried to fix liborTermStructure handle, and set it relink to disTS, but the result of floating bond is still null. I am trying to fix it all the time, but i still do not know how to fix it. Where is my problem? How to solve it.

regards

Alex Zhang

2013/5/21 Luigi Ballabio <[hidden email]>

Hello,
there are a few issues in your code:

1) the particular one you're having about an empty handle is because
you didn't set any curve to the liborTermStructure handle;
2) the null values are because you didn't set the evaluation date.
You define a today, but you're missing the

Settings::instance().evaluationDate() = today;

that will cause the calculations to be done at that date.
3) your discount curve spans three years, but the bond matures beyond
that date. You can either add more points, or extrapolate by adding
the instruction

disTS->enableExtrapolation();

before starting the calculations;
4) you'll need another Libor fixing for July 17 2009.

With the above changes, your program runs correctly.

Hope this helps,
Luigi

On Tue, May 21, 2013 at 7:31 AM, Yuanhao Zhang <[hidden email]> wrote:
> I am now following the sample case bond to learn QuantLib. Then, I changed
> the Discount Yield Curve as my own one. But, i met the problem. Seems the
> class relinkable handle link to an empty discount curve, the result is all
> null much different from the sample case. What was the problem, am I
> following the right way to link the discount curve?
> Hope someone can help me.
>
> regards
>
> Alex Zhang
>

> ------------------------------------------------------------------------------
> Try New Relic Now & We'll Send You this Cool Shirt
> New Relic is the only SaaS-based application performance monitoring service
> that delivers powerful full stack analytics. Optimize and monitor your
> browser, app, & servers with just a few lines of code. Try New Relic
> and get this awesome Nerd Life shirt! http://p.sf.net/sfu/newrelic_d2d_may
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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main.cpp (16K) Download Attachment

Luigi Ballabio

Re: Relinkable handle problem

You didn't fix 2).
Just re-enable the line

Settings::instance().evaluationDate() = today;

that you commented out. With that change, the attached main.cpp works.

Luigi

On Wed, May 29, 2013 at 5:26 AM, Yuanhao Zhang <[hidden email]> wrote:

> Hi Luigi,
> I am trying to fix the the issues by following your instructions, and fixed
> 2,3,4 issue. But, I tried to fix liborTermStructure handle, and set it
> relink to disTS, but the result of floating bond is still null. I am trying
> to fix it all the time, but i still do not know how to fix it. Where is my
> problem? How to solve it.
>
> regards
>
> Alex Zhang
>
>
> 2013/5/21 Luigi Ballabio <[hidden email]>
>>
>> Hello,
>> there are a few issues in your code:
>>
>> 1) the particular one you're having about an empty handle is because
>> you didn't set any curve to the liborTermStructure handle;
>> 2) the null values are because you didn't set the evaluation date.
>> You define a today, but you're missing the
>>
>> Settings::instance().evaluationDate() = today;
>>
>> that will cause the calculations to be done at that date.
>> 3) your discount curve spans three years, but the bond matures beyond
>> that date. You can either add more points, or extrapolate by adding
>> the instruction
>>
>> disTS->enableExtrapolation();
>>
>> before starting the calculations;
>> 4) you'll need another Libor fixing for July 17 2009.
>>
>> With the above changes, your program runs correctly.
>>
>> Hope this helps,
>> Luigi
>>
>>
>> On Tue, May 21, 2013 at 7:31 AM, Yuanhao Zhang <[hidden email]>
>> wrote:
>> > I am now following the sample case bond to learn QuantLib. Then, I
>> > changed
>> > the Discount Yield Curve as my own one. But, i met the problem. Seems
>> > the
>> > class relinkable handle link to an empty discount curve, the result is
>> > all
>> > null much different from the sample case. What was the problem, am I
>> > following the right way to link the discount curve?
>> > Hope someone can help me.
>> >
>> > regards
>> >
>> > Alex Zhang
>> >
>> >
>> > ------------------------------------------------------------------------------
>> > Try New Relic Now & We'll Send You this Cool Shirt
>> > New Relic is the only SaaS-based application performance monitoring
>> > service
>> > that delivers powerful full stack analytics. Optimize and monitor your
>> > browser, app, & servers with just a few lines of code. Try New Relic
>> > and get this awesome Nerd Life shirt!
>> > http://p.sf.net/sfu/newrelic_d2d_may
>> > _______________________________________________
>> > QuantLib-users mailing list
>> > [hidden email]
>> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
>> >
>
>

main.cpp (16K) Download Attachment