Posted by
Peter Caspers-4 on
Feb 23, 2016; 5:30pm
URL: http://quantlib.414.s1.nabble.com/calibrationhelper-and-inflation-calibration-tp17316p17317.html
Hi Andre,
I just looked up this change (see below), it was introduced in 1.4. I
remember when many observable notifications were sent to calibration
helpers, they could cause a high CPU usage due to many (unnecessary)
black price computations that were done directly in the update()
method before. That's the background.
Would it be possible for you to post the complete code of your
calibration helper implementation, then we can see how to adapt it to
the new base class ?
Regards
Peter
Commit 114b6781a13eae2a99ce89e13387409bc703d323
Author: Luigi Ballabio <
[hidden email]>
AuthorDate: Mon Apr 15 11:55:23 2013 +0000
Precedes: QuantLib-v1.3 (76) Inherited CalibrationHelper from
LazyObject (thanks to Peter Caspers).
On 23 February 2016 at 16:11, André de Boer <
[hidden email]> wrote:
> 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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