Re: R: Hull White Calibration?

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/R-Hull-White-Calibration-tp2845p2846.html

On 2004.03.24 18:37, Berardi Luca wrote:
> I perhaps managed to find the exact location where the exception is
> thrown.
>
> 9) XiborManager::getHistory()
>
> at this point the exception is thrown, and is subsequently catched by
> ParCoupon::amount() but no action is taken: there is only a comment
> "//fall through and forecast".

That's ok. The code first tries to fetch a stored fixing, and when it's  
told (by an exception) that the fixing isn't there it estimates it.

> I'm now including in the attachment the (self-contained) source code
> which is giving me pain...perhaps on someone else's machine is it  
> going to work?

I didn't really look at the results, but on my machine it compiled,  
linked and ran without errors in release mode with version 0.3.5 (to be  
released in a few days.) Now I'm trying with 0.3.4... ok, it doesn't  
give any error either. Maybe you can try on a coworker's machine?

Later,
        Luigi