http://quantlib.414.s1.nabble.com/R-Hull-White-Calibration-tp2845p2847.html
QuantLib 0.3.5, the near-released version. Maybe, it is MS Windows
specific or solved by 0.3.5. The latter is less likely though.
>
> Luigi, Nando
>
> I perhaps managed to find the exact location where the exception is
> thrown.
> I list in the following the sequence of functions called from the
> point where the exception is thrown (I won't list the function
> arguments were needed, for brevity):
>
> 1) CapHelper::CapHelper()
> 2) Instrument::NPV()
> 3) Instrument::calculate()
> 4) LazyObject::calculate()
> 5) Swap::performCalculations() -----> secondLegNPV_ = ...
> 6) TermStructure::discount()
> 7) PiecewiseFlatForward::discountImpl()
> 8) ParCoupon::amount()
> 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".
>
> I also rebuilt all the QuantLib library from scratch, but there was no
> improvement.
> 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?
>
> Ciao,
> Luca
>
>
>
>
> -----Messaggio originale-----
> Da: Luigi Ballabio [mailto:
[hidden email]]
> Inviato: mercoledì 24 marzo 2004 15.47
> A: Berardi Luca
> Cc:
[hidden email]
> Oggetto: Re: [Quantlib-users] Hull White Calibration?
>
>
> 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
>
>
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