http://quantlib.414.s1.nabble.com/Question-on-IRS-pricing-tp5089p5091.html
On 10/5/06, Jawahar J. Panchal <
> Hello,
>
> I am using quantlib to create and price a few interest rate swaps and
> associated bonds to show some hedging relationships. I have written code
> which loads a series of treasury and libor rates for specific month-end
> dates, and have created curves for each month end.
>
> My code then creates a swap with a handle to a specific discounting and
> forecasting term structure. I point the handles to each month end curve,
> change the evaluation date to the date of the curve, and then try and
> perform an NPV of the swap.
>
> This seems to only work for the 1st curve (which is on the settlement date
> of the swap), and afterwards I get the following error:
>
> terminate called after throwing an instance of 'QuantLib::Error'
> what(): USDLibor3m act/360 history not loaded
>
> I have checked that I have a curve for each date, and that my evaluation
> date matches the date of the curve - so am not sure why the error states
> that there is no history loaded...
>
> Would anyone be able to provide me with some help or guidance? Thanks to
> anyone who responds in advance for their time and help!
>
> Sincerely,
> Jay
>
>
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