bondhelpers.cpp bug

[Simon Ibbotson - Straumur]

Hi folks,

 

The constructor for the FixedRateBondHelper class that takes a bond as a parameter doesn’t instantiate member variable ::bond_ before use.

Either the input bond should be used (if it is assumed that the bond will not be used elsewhere) or a copy of the bond should be created for specific use with the yieldtermstructure.

Currently, neither solution is perfect:

a)       If a copy of the bond is created, then for a derived class (from FixedRateBond) to work, we’d also require a FixedRateBond::clone() method.

b)       If we use the input bond, there’s no guarantee that the bond is not used elsewhere with a different yieldcurve which would lead to uncertain results.

 

Regards,

 

Simon

 

 

Simon Ibbotson

Quantitative Analytics

Capital Markets

Straumur

 

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[Luigi Ballabio]

On Mon, 2008-03-31 at 10:40 +0000, Simon Ibbotson wrote:
> The constructor for the FixedRateBondHelper class that takes a bond as
> a parameter doesn’t instantiate member variable ::bond_ before use.

True--I've fixed that. Thanks for the report.


> b)       If we use the input bond, there’s no guarantee that the bond
> is not used elsewhere with a different yieldcurve which would lead to
> uncertain results.

True, but as you wrote it's tricky to make it safe. For the time being,
I've added a warning to the documentation pointing out the problem.

Luigi


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