Re: qlBucketAnalysis always returns 0 for delta and gamma

Posted by Carl on
URL: http://quantlib.414.s1.nabble.com/qlBucketAnalysis-always-returns-0-for-delta-and-gamma-tp14382p15178.html

I have the same issue with qlbucketanalysis().

I have built a yield curve using rateHelpers and qlPiecewiseYieldCurve().  How do I create a link between the simpleQuote objects that are shifted in qlbucketanalysis() and my yield curve object?  In other words, how does the yield curve know it has been perturbed by qlbucketanalysis()?  Right now I get 0 delta, just like Hyung-Seok.  Intuitively I think I should construct each rateHelper using a simplequote as a parameter, but that is not supported.  I have tried using triggers to force a link between the rateHelpers and simpleQuotes, but that does not work either.  Can someone give some direction or post an example?

Thank You,
Carl Schmidt