Posted by
JURAJ HUSKA on
URL: http://quantlib.414.s1.nabble.com/curve-generation-issues-tp1529.html
Hello all,
this is an issue I ran into today (October 31, the dates seems to be important). I constructed "ExtendedDiscountCurve" with yearly points going out to 30 years, with reference date = October 31, dayCounter = Thirty360 and businessDayConvention = ModifiedFollowing.
With these inputs I would get run time error, which I found turned out to be generated from "interpolation.hpp" file when QuantLib was performing "QL_EXTRA_SAFETY_CHECKS". I think I found the cause of these problems but some issues remain. Bottom line is: when dates and times are interpolated, the choice of dayCounter causes some dates to have equal times (
e.g., 10/30/2009 and 10/31/2009 both have times = 2.0), which in turn causes run-time error when extra safety checks are performed. Interestingly, when businessDayConvention is changed to "Unadjusted" the error disappears.
When QuantLib is run in release mode, the extra checks are turned off. However, even then I ran a function (pricing some bonds) which blew up and after adjusting the businessDayConvention it ran just fine, I don't know where the error came from in this case... and would like to know.
Is it possible that a curve with a valid set of dates/discount factors (e.g., spaced from each other by yearly gaps) can blow up at run time even in release mode? (this would seem a bug to me)
Juraj
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