Facing app crash with zeroRate function

Posted by v17 on Jan 16, 2014; 5:48am
URL: http://quantlib.414.s1.nabble.com/Facing-app-crash-with-zeroRate-function-tp14853.html

Hi,

Request members help on the below issue -

I have following code in my project -

boost::shared_ptr<YieldTermStructure> CYieldCurveUtils::MakeTermStructure(const vector<Rate> &liborRates, const vector<Period> &liborTenors, YieldCurveDef &_ycDef, bool zeroRates ){

        ycDef = _ycDef;
        ycDef.evalDate = ycDef.cal.advance(ycDef.evalDate, -2, Days);

        const int size = liborRates.size();
        std::vector<shared_ptr<RateHelper>> instruments;
        Period oneYear(1, Years);
        shared_ptr<Euribor> swapIndex(new Euribor(6 * Months));
        vector<Date> liborDates(liborTenors.size());
        Date curDate;
        if (!zeroRates){
                for (int idx  = 0; idx  < size; idx++){
                        if (liborTenors[idx] < oneYear){
                                shared_ptr<RateHelper> rateHelper(new DepositRateHelper(liborRates[idx],liborTenors[idx],ycDef.fixingDays,ycDef.cal, ycDef.bdc, ycDef.endOfMonth, ycDef.dc));
                                instruments.push_back(rateHelper);
                        }
                        else {
                                        shared_ptr<RateHelper> rateHelper(new SwapRateHelper(liborRates[idx],liborTenors[idx], ycDef.cal, ycDef.freq, ycDef.bdc, ycDef.dc, swapIndex));
                                        instruments.push_back(rateHelper);
                        }
                }
  yieldCurve = shared_ptr<YieldTermStructure>(new PiecewiseYieldCurve<Discount, LogLinear, IterativeBootstrap>(ycDef.evalDate, instruments, ycDef.dc));
                        yieldCurve->enableExtrapolation();
        }
        else{
                for (int i = 0; i < size; i++){
                        curDate = ycDef.cal.advance(ycDef.evalDate, liborTenors[i]);
                        liborDates[i] = curDate;
                }
                yieldCurve = shared_ptr<YieldTermStructure>(new InterpolatedZeroCurve<LogLinear>(liborDates, liborRates, ycDef.dc, ycDef.cal));
                yieldCurve->enableExtrapolation();
        }
        return yieldCurve;
}


void GetZeroRates(const vector<Real> &liborRates, const vector<Period> &liborTenors, vector <Real> &zeroRates, YieldCurveDef &_ycDef){
        boost::shared_ptr<YieldTermStructure> ptrYiedCurve = MakeTermStructure(liborRates, liborTenors, _ycDef, true);
        int size = liborTenors.size();
        zeroRates.clear();
        zeroRates.resize(size);
        for (int i = 0; i < size; i++){
                zeroRates[i] = ptrYiedCurve->zeroRate(_ycDef.evalDate + liborTenors[i], _ycDef.dc, Compounded, Annual);
                //std::cout << "Rate = " << yieldCurve->forwardRate(_ycDef.evalDate + Period(1*Years), _ycDef.evalDate + Period(1*Years) + periods[i] , _ycDef.dc, Compounded, Annual) << std::endl;
        }

}


Program crashes when it hits zeroRate(...) function. Is it looking for discountImpl function implementation? I am using InterpolatedZeroCurve which provides the implementation for discountImpl and zeroYieldImpl functions.