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calibrationhelper and inflation calibration

Posted by André de Boer on Feb 23, 2016; 2:19pm
URL: http://quantlib.414.s1.nabble.com/calibrationhelper-and-inflation-calibration-tp17316.html

Hi,

When moving to QuantLib version 1.7.1 we suddenly experience problems
with inflation calibration, error message: 'empty handle cannot be
dereferenced'.

The class InflationCapHelper inherits from CalibrationHelper:

  class InflationCapHelper : public QuantLib::CalibrationHelper {
  public:
   InflationCapHelper(const QuantLib::Date& startDate,
      QuantLib::CapFloor::Type type,
      const QuantLib::Size& years,
      const QuantLib::Period& intervalTime,
      const boost::shared_ptr<QuantLib::InflationIndex>& index,
      QuantLib::Rate strike,
      const QuantLib::Period& forwardStart,
      QuantLib::Real nominal,
      double marketPrice);
   virtual ~InflationCapHelper();
   virtual void addTimesTo(std::list<QuantLib::Time>& times) const;
   virtual QuantLib::Real modelValue() const;
   virtual QuantLib::Real blackPrice(QuantLib::Volatility volatility) const;
  private:
   boost::shared_ptr<InflationCapFloor> inflationDerivative_;
  };

Compared to earlier versions of QuantLib we see that
calibrationhelper.hpp has changed and inherits now from lazyobject in
stead from observer and observable.

How to overcome this issue?

Thnx,
André

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