Posted by
Luca Billi on
URL: http://quantlib.414.s1.nabble.com/Exception-in-Bond-cleanPriceFromZSpread-tp12044.html
Hi all,
the following code throws an exception when
bond.cleanPriceFromZSpread(...) is called.
The issue comes from the fact that, in this example, there's no
settlement adjustment, so the function
ZeroSpreadedTermStructure::zeroYieldImpl(Time t) needs to be evaluated
for t=0.
I got around this issue by adding the seemingly harmless
if(t==0.) return 1.;
at line 86 of file ql/termstructures/yield/zeroyieldstructure.hpp
Anyone has a better idea?
Luca
#include <ql/quantlib.hpp>
using namespace QuantLib;
int main(int, char* [])
{
try {
Calendar calendar = TARGET();
Date todaysDate(30, Jun, 2008);
Settings::instance().evaluationDate() = todaysDate;
Schedule schedule = MakeSchedule(todaysDate, todaysDate + 10*Years,
Period(Annual), calendar, Unadjusted);
std::vector<double> coupons(1, 0.07);
FixedRateBond bond(0, 10000., schedule, coupons, Actual360(),
ModifiedFollowing);
Handle<YieldTermStructure> tsCurve(boost::shared_ptr<FlatForward>(
new FlatForward(todaysDate, 0.05, Actual360(),
Compounded)));
boost::shared_ptr<DiscountingBondEngine> engine(new
DiscountingBondEngine(tsCurve));
bond.setPricingEngine(engine);
bond.cleanPriceFromZSpread(0.0200, Actual360(), Compounded,
Annual); // <- this throws
}
catch (std::exception& e) {
std::cout << e.what() << std::endl;
}
return 1;
}
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