Hi
I am using Quantlib 0.9.7 for my Application.
And i set the evaluation date to 31 December 2008 for Fixed Rate Bond.
When i print the settlement date , for Window the Settlement Date is fine
..which is January 1st, 2009
But for AIX 64 bit application, the Settlement Date is bit weird...which comes
out to be January 24th, 2011.
I guess , its pointing to the current date rather than taking the date which i
have set to i.e. 31-December-2008.
Attaching the log file for both the Platforms.
Please guide me regarding this issue. Its having a huge impact on my
application.
The code is given below:
cout<<" Fic Mis Date in Initialize Method: "<<this->mMisdate<<endl;
Settings::instance().evaluationDate() = this->mMisdate;
try
{
Handle<YieldTermStructure> discountCurve(boost::shared_ptr<YieldTermStructure>(
new
ZeroCurve(instrumentInfoObj.vTermstructureDates,instrumentInfoObj.vTermstructureRates,instrumentInfoObj.dayCounter)));
boost::shared_ptr<PricingEngine> bondEngine(new
DiscountingBondEngine(discountCurve));
Date effectiveDate =
instrumentInfoObj.issueDate+instrumentInfoObj.settlementDays;
cout<<" Effective Date "<<effectiveDate<<endl;
cout<<" Issue Date "<<instrumentInfoObj.issueDate<<endl;
cout<<" Settlement Days "<<instrumentInfoObj.settlementDays<<endl;
cout<<" Maturity Date "<<instrumentInfoObj.maturityDate<<endl;
Schedule schedule(effectiveDate,
instrumentInfoObj.maturityDate,
(QuantLib::Period)instrumentInfoObj.couponFrequency,
instrumentInfoObj.calendar,
QuantLib::Following,
QuantLib::Following,
DateGeneration::Forward,
false);
cout<<"Account Skey -------> "<<instrumentInfoObj.acctSkey<<" COUPON
RATE-------->"<<instrumentInfoObj.couponRate<<endl;
this->mptrFixedRateBond = new FixedRateBond (instrumentInfoObj.settlementDays,
100,
schedule,
vector<double> (1,instrumentInfoObj.couponRate),
instrumentInfoObj.dayCounter,
QuantLib::Following,
100,
instrumentInfoObj.issueDate);
this->mptrFixedRateBond->setPricingEngine(bondEngine);
cout.precision(10);
cout<<"NPV "<<this->mptrFixedRateBond->NPV()<<endl;
cout<<"Settlement Date:"<<this->mptrFixedRateBond->settlementDate()<<endl;
cout<<"Issue Date:"<<this->mptrFixedRateBond->issueDate()<<endl;
cout<<"Maturity Date:"<<this->mptrFixedRateBond->maturityDate()<<endl;
return ClsUConstants::TASK_SUCCESS;
Regards
Rohit
------------------------------------Log File For MDurationExec-------------------------------------
----------------------------------------------------------------------------------------------------
Generation of MDurationExec Log started on : Tue Jan 18 23:42:21 2011
----------------------------------------------------------------------------------------------------
SMSDetails:
Config File Path :
Log File Path :
Date Format :
Config User ID : confrevdemo4
Config Database Name : ORCL85
User ID : revuser4
Database Name : ORCL85
Database Type : ORACLE
Database Locale :
MIS Date: 20081231
Run Skey: 283
Started Config XML Parsing
Config XML Parsing Completed
End of Cursor
OCI_NO_DATA
Error Msg :->
No of Rows Selected :22
[ClsUNPVMD]-> Info: Instrument Details Population Successful
End of Cursor
OCI_NO_DATA
Error Msg :->
No of Rows Selected :180
[ClsUNPVMD]-> Info: Term Structure Details Population Successful
Fic Mis Date in Initialize Method: December 31st, 2008
NPV 103.7561416
Settlement Date:January 1st, 2009
Issue Date:December 1st, 2006
Maturity Date:January 28th, 2010
[ClsUNPVMD]-> Info: NPV Calculation And Modified Duration Calculation Successful
[ClsUNPVMD]-> Info: Update Table Successful
----------------------------------------------------------------------------------------------------
End of MDurationExec Operations : Tue Jan 18 23:42:22 2011
----------------------------------------------------------------------------------------------------
------------------------------------Log File For MDurationExec-------------------------------------
----------------------------------------------------------------------------------------------------
Generation of MDurationExec Log started on : Tue Jan 18 23:53:21 2011
----------------------------------------------------------------------------------------------------
SMSDetails:
Config File Path : /home/revdemo4/ftpshare/ERMPROD/erwin/model/
Log File Path : /home/revdemo4/ftpshare/ERMPROD/logs
Date Format : mm-dd-yyyy
Config User ID : confrevdemo4
Config Database Name : orcl
User ID : revuser4
Database Name : revuser4
Database Type : ORACLE
Database Locale : AMERICAN_AMERICA.US7ASCII
MIS Date: 20081231
Run Skey: 283
Started Config XML Parsing
Config XML Parsing Completed
End of Cursor
OCI_NO_DATA
Error Msg :->
No of Rows Selected :22
[ClsUNPVMD]-> Info: Instrument Details Population Successful
End of Cursor
OCI_NO_DATA
Error Msg :->
No of Rows Selected :180
[ClsUNPVMD]-> Info: Term Structure Details Population Successful
Fic Mis Date in Initialize Method: December 31st, 2008
NPV 0
Settlement Date:January 20th, 2011
Issue Date:December 1st, 2006
Maturity Date:January 28th, 2010
[ClsUFixedRateBond]-> Error: Modified Duration Calculation Failed
Account Skey : 14354
../../ql/math/solver1d.hpp:199: In function `QuantLib::Solver1D<QuantLib::Brent>::solve<QuantLib::<unnamed>::YieldFinder>(const YieldFinder &, Real, Real, Real, Real) const':
root not bracketed: f[0,1] -> [NaNQ,NaNQ]
[ClsUNPVMD]-> Error: NPV Calculation OR Modified Duration Calculation Failed
[Main]-> Error: Terminating MDurationExec
----------------------------------------------------------------------------------------------------
End of MDurationExec Operations : Tue Jan 18 23:53:21 2011
----------------------------------------------------------------------------------------------------
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