Posted by
Hari-40 on
Sep 14, 2012; 11:08am
URL: http://quantlib.414.s1.nabble.com/Piecewise-Yield-curve-test-tp13473.html
Hi,
I am a new person into this QuantLib (both C++ and Java) world and trying to
understand the various models published and particularly on piece wise yield
curve
(for ALM yield curve modelling). I am using the version 1.2. When I try to test
a simple piece wise (Discount, LogLinear) model, I get the below stack trace.
Exception in thread "main" java.lang.NullPointerException
at
org.jquantlib.termstructures.yieldcurves.InterpolatedZeroCurve.maxDate(Interpola
tedZeroCurve.java:234)
at
org.jquantlib.termstructures.AbstractTermStructure.checkRange(AbstractTermStruct
ure.java:286)
at
org.jquantlib.termstructures.AbstractYieldTermStructure.discount(AbstractYieldTe
rmStructure.java:375)
at
org.jquantlib.termstructures.AbstractYieldTermStructure.discount(AbstractYieldTe
rmStructure.java:367)
at
org.jquantlib.termstructures.yieldcurves.PiecewiseYieldCurve.discount(PiecewiseY
ieldCurve.java:687)
at org.jquantlib.indexes.IborIndex.forecastFixing(IborIndex.java:240)
at
org.jquantlib.indexes.InterestRateIndex.fixing(InterestRateIndex.java:175)
at
org.jquantlib.indexes.InterestRateIndex.fixing(InterestRateIndex.java:180)
at
org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest.testC
urveConsistency(PiecewiseYieldCurveTest.java:407)
at
org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest.testC
urveConsistency(PiecewiseYieldCurveTest.java:381)
at
org.jquantlib.testsuite.termstructures.yieldcurves.PiecewiseYieldCurveTest.testS
plineZeroConsistency(PiecewiseYieldCurveTest.java:718)
I used the sample test program provided in the 'testsuite'. I tried to debug and
finally understand that 'Interpolation' curve is not initialized at all.
Can anyone help to provide me a working sample of a piece wise yield curve in
Java using JQuantLib (v1.2)? Thanks.
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