Hello,
I am getting an assert error when executing maxDate() method from an AbcdAtmVolCurve
which triggers all the calculations within curve.
the call stack is as follows!
-------------------------------
std::_Debug_message(const wchar_t * message=0x00a88468, const wchar_t * file=0x00a884b0, unsigned int line=98) Line 24 C++
std::_Vector_const_iterator<double,std::allocator<double> >::operator*() Line 99 C++
QuantLib::detail::AbcdInterpolationImpl<std::_Vector_iterator<double,std::allocator<double> >,std::_Vector_iterator<double,std::allocator<double> > >::update() Line 108 + 0x8 bytes C++
QuantLib::AbcdAtmVolCurve::performCalculations() Line 156 C++
QuantLib::LazyObject::calculate() Line 146 C++
QuantLib::AbcdAtmVolCurve::maxDate() Line 122 + 0x12 bytes C++
-------------------------------the code for instantiating the curve is as follows.
TS_VOL_ABCD_ATM* c; // this is a custom structure for serializing information between a gui client application and the server where the following code actually runs!
std::vector<QuantLib::Period> optionTenors;
std::vector<QuantLib::Handle<QuantLib::Quote> > vols;
std::vector<bool> inclusionInInterpolationFlag;
for (std::size_t i = 0; i < c->Values.size(); i++)
{
QuantLib::Period period
(
Converter::toInteger(c->Values[i].OptionTenor.NoTimeUnit)
, Converter::toTimeUnit(c->Values[i].OptionTenor.TimeUnit)
);
optionTenors.push_back(period);
vols.push_back(QuantLib::Handle<QuantLib::Quote>(boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(QuantLib::Real(c->Values[i].Volatility)))));
inclusionInInterpolationFlag.push_back(c->Values[i].InclusionInInterpolationFlag);
}
boost::shared_ptr<QuantLib::AbcdAtmVolCurve> curve
( new QuantLib::AbcdAtmVolCurve(
Converter::toNatural(c->SettlementDays)
, Converter::toCalendar(c->Calendar)
, optionTenors
, vols
, inclusionInInterpolationFlag // default std::vector< bool >(1, true)
, Converter::toBusinessDayConvention(c->Convention)
, Converter::toDayCounter(c->DayCounter)
));
------------------------------------------------------------------------------
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