Dear all,
I am writing an Excel add-in in C++ using XLW and QuantLib.
In order to store a set of volatility curves, I am using the following map:
typedef
boost::shared_ptr<QuantLib::BlackVolTermStructure>
VolTermStructure;
std::map<std::string,
VolTermStructure>
volTermStructureMap;
Now I have a “SetVolSurface” method that does the following (for simplicity, I’ll only show the Constant Vol curve which already exhibits the issue):
volTermStructureMap[surfaceID]
=
VolTermStructure(
new
BlackConstantVol(0,
*cal,
vol,
*dayCounter));
[vol is a double, cal is a std::shared_ptr<const QuantLib::Calendar> and
dayCounter is a std::shared_ptr<const QuantLib::DayCounter>]
Everything compiles and run fine, and I can extract useful information from it (blackVol, blackVariance etc).
However, while Debugging, if I close Excel the following error occurs:
----
Exception thrown: read access violation.
boost::unordered::detail::table<boost::unordered::detail::set<std::allocator<QuantLib::Observer * __ptr64>,QuantLib::Observer * __ptr64,boost::hash<QuantLib::Observer * __ptr64>,std::equal_to<QuantLib::Observer
* __ptr64> > >::get_bucket(...) returned 0xFFFFFFFFFFFFFFFF.
If there is a handler for this exception, the program may be safely continued.
------
Am I doing something wrong? Is this a bug? I’ve tried a few versions of the above code without success.
A few points:
-
The error does not occur if I don’t populate the map using the SetVolSurface method – if I prepopulate the map, for instance, I can close Excel without getting the error.
-
The error does not occur if I hit the “Stop debug” button instead of closing Excel
-
The error does not occur if I compile the Release version of the add-in, open Excel, and map the add-in from Excel (but I’m worried that there is a silent memory error under
the hood).
Thanks in advance,
Pedro Milet
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