ql/experimental/inflation, compile error with InterpolatedYoYOptionletStripper

[raffaele.pellicani]

Hi,

I am testing ql/experimental/inflation (QL Rev15933), specifically the Stripper classes provided.

After building the cap/floor price surface:

Bilinear interp2;
Linear interp1;
boost::shared_ptr<YoYCapFloorTermPriceSurface> priceSurf(new InterpolatedYoYCapFloorTermPriceSurface<Bilinear, Linear>(fixingDays, yyLag, frequency,
baseRate, nominal, dc, cal, bdc, cStrikes, fStrikes , cfMaturities, cPrice, fPrice, interp2, interp1));

I define my Inflation CapFloor Engine, with a Constant Optionlet Vol Surf in input (my idea is that, please correct me if I am wrong, for stripping purposes any vol surf in input to the engine is good, because of the YoYInflationCapFloorEngine::setVolatility(...)):

Handle<YoYOptionletVolatilitySurface> letVolSurf(boost::shared_ptr<YoYOptionletVolatilitySurface>(new
ConstantYoYOptionletVolatility(baseYoYVol, yyLag)));
boost::shared_ptr<BachelierYoYInflationCapFloorEngine> engine(new
BachelierYoYInflationCapFloorEngine(nominal, letVolSurf));

Up to here, no problems. Now I try to strip my prices:

InterpolatedYoYOptionletStripper<Linear> stripper();
stripper().initialize(priceSurf,engine, slope);

but what I get is the error message that follows. Any hint on the nature of such error message would be appreciated.
Thanks,
Raffaele

C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(41): error C2039: 'interpolator_type': Ist kein Element von 'QuantLib::PiecewiseYoYOptionletVolatilityCurve<Interpolator>'
with [ Interpolator=QuantLib::Linear]
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(40): error C2039: 'traits_type': Ist kein Element von 'QuantLib::PiecewiseYoYOptionletVolatilityCurve<Interpolator>'
with [ Interpolator=QuantLib::Linear ]
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(41): error C2146: Syntaxfehler: Fehlendes ';' vor Bezeichner 'Interpolator'
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(40): error C2146: Syntaxfehler: Fehlendes ';' vor Bezeichner 'Traits'
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(41): error C2501: 'QuantLib::IterativeBootstrap<Curve>::Interpolator': Fehlende Speicherklasse oder Typspezifizierer
with [ Curve=QuantLib::PiecewiseYoYOptionletVolatilityCurve<QuantLib::Linear>::this_curve ]
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(40): error C2501: 'QuantLib::IterativeBootstrap<Curve>::Traits': Fehlende Speicherklasse oder Typspezifizierer
with [ Curve=QuantLib::PiecewiseYoYOptionletVolatilityCurve<QuantLib::Linear>::this_curve ]


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[Luigi Ballabio]

On Wed, 2009-03-11 at 16:38 +0100, [hidden email] wrote:
> [...] but what I get is the error message that follows. Any hint on
> the nature of such error message would be appreciated.

Raffaele,
        what compiler are you using?  Also, may you translate the error
messages from German to English?

Luigi


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The wisdom of the wise and the experience of the ages are perpetuated
by quotations.
-- Benjamin Disraeli



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[raffaele.pellicani]

> what compiler are you using?
Microsoft Visual C++ .NET 2003 v 7.1

> error messages from German to English
here it is, sorry:

C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(41): error C2039: 'interpolator_type': is not a member of 'QuantLib::PiecewiseYoYOptionletVolatilityCurve<Interpolator>'
with [ Interpolator=QuantLib::Linear]
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(40): error C2039: 'traits_type': is not a member of 'QuantLib::PiecewiseYoYOptionletVolatilityCurve<Interpolator>'
with [ Interpolator=QuantLib::Linear ]
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(41): error C2146: syntax error: missing ';' before identifier 'Interpolator'
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(40): error C2146: syntax error: missing ';' before identifier 'Traits'
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(41): error C2501: 'QuantLib::IterativeBootstrap<Curve>::Interpolator': missing storage-class or type specifiers
with [ Curve=QuantLib::PiecewiseYoYOptionletVolatilityCurve<QuantLib::Linear>::this_curve ]
C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(40): error C2501: 'QuantLib::IterativeBootstrap<Curve>::Traits': missing storage-class or type specifiers
with [ Curve=QuantLib::PiecewiseYoYOptionletVolatilityCurve<QuantLib::Linear>::this_curve ]


Raffaele


Luigi Ballabio <[hidden email]>

Luigi Ballabio <[hidden email]>

11.03.2009 17:29

Bitte antworten an
[hidden email]

An	[hidden email]
Kopie	[hidden email]
Thema	Re: [Quantlib-users] ql/experimental/inflation, compile error with InterpolatedYoYOptionletStripper

On Wed, 2009-03-11 at 16:38 +0100, [hidden email] wrote:
> [...] but what I get is the error message that follows. Any hint on
> the nature of such error message would be appreciated.

Raffaele,
what compiler are you using?  Also, may you translate the error
messages from German to English?

Luigi


--

The wisdom of the wise and the experience of the ages are perpetuated
by quotations.
-- Benjamin Disraeli




___________________________________________________________________

Disclaimer :


Diese Mitteilung ist nur fuer die Empfaengerin / den Empfaenger bestimmt.

Fuer den Fall, dass sie von nichtberechtigten Personen empfangen wird, bitten wir diese hoeflich, die Mitteilung an die ZKB zurueckzusenden und anschliessend die Mitteilung mit allen Anhaengen sowie allfaellige Kopien zu vernichten bzw. zu loeschen. Der Gebrauch der Information ist verboten.


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If you have received it in error, please advise the sender by return e-mail and delete this message and any attachments. Any unauthorised use or dissemination of this information is strictly prohibited.
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[Luigi Ballabio]

On Wed, 2009-03-11 at 18:02 +0100, [hidden email] wrote:

> > what compiler are you using?
> Microsoft Visual C++ .NET 2003 v 7.1
>
> > error messages from German to English
> here it is, sorry:
>
> C:\...\QuantLib-Rev15933\ql\termstructures\iterativebootstrap.hpp(41):
> error C2039: 'interpolator_type': is not a member of
> 'QuantLib::PiecewiseYoYOptionletVolatilityCurve<Interpolator>'
> with [ Interpolator=QuantLib::Linear]

Ok, right.  Try the latest revision.

Luigi


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Never mistake motion for action.
-- Ernest Hemingway



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