Re: Hull White Calibration?

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/R-Hull-White-Calibration-tp2841p2842.html

On 2004.03.24 12:34, Berardi Luca wrote:

> - the QuantLib version I'm using is 0.3.4 (currently using the debug
> libraries)
> - when I step through the code in the Visual Studio 6.0 Debugger, I
> noticed that when each CapHelper is instantiated (pls refer to the  
> code I previously sent out) at the line:
>
> Handle<CalibrationHelper>
> hCapHelper(new CapHelper(volaLength[i],
>     rhMarketElement,index, rhTermStructure));
> I get the following message in the Output Window: "First-chance
> exception in
> EXCEL.EXE (KERNEL32.DLL): 0xE06D7363: Microsoft C++ Exception."

Luca,
        can you step into the CapHelper instantiation? After executing  
the line above, does the Handle contain a non-null pointer?

Also, how does your code work if you use it without Excel in the  
picture---say, if you write a short main() to test it?

Later,
        Luigi