Posted by
Seyfullah ÇETİN on
URL: http://quantlib.414.s1.nabble.com/Re-CPIbond-tp5825p5831.html
Hi Mirko,
Investigating the code I found the same, too. I added
calculateNotionalsFromCashflows() to the CPIBond constructor. But I was just
not so sure if it was the right solution. But the clean price seems to be
generated correctly.
-----Original Message-----
From: Raso Mirko (ICCREA Holding) [mailto:
[hidden email]]
Sent: Thursday, April 05, 2012 12:39 PM
To: Seyfullah ÇETİN
Cc:
[hidden email]
Subject: Re: [Quantlib-users] CPIbond
Hi all,
I've got the same problem on using cleanprice() method for the cpibond,
while it disappers when the NPV() method is invoked, as done in the test
suite.
Problems arise even calling other methods such as, for example,
accruedamount(...), dirtyprice() or yield(...).
Investigating the code the problem seems to be connected to the missing
generation of the notional schedule of the bond
(notionalSchedule_ and notionals_ property).
In fact, due to the its "inflation nature", the cpibond doesn't call the
addRedemptionsToCashflows(...) method because redemption is managed
directly by the inflationCashFlow class and, consequently, no notional
schedule is build.
An easy workaround (I tested and works fine) is adding a call to
calculateNotionalsFromCashflows() method in the class definition
which generates the required schedule but doesn't alter the bond cashflows
and, more important, the final price.
Let me know if I missed some other aspects in the global cpibond management
or if there's another more appropriate solution.
Ciao,
Mirko
-----Messaggio originale-----
Da: Seyfullah ÇETİN [mailto:
[hidden email]]
Inviato: 22 March 2012 09:15
A:
[hidden email]
Cc: 'Luigi Ballabio'
Oggetto: Re: [Quantlib-users] CPIbond
Hi again,
Here is the code. It is pretty much same as the the one in test suite.
In the line when I try to get the cleanprice() (cpiB.cleanPrice();), I get a
"Vector iterator offset out of range" exception.
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Tuesday, March 20, 2012 3:40 PM
To: Seyfullah ÇETİN
Subject: Re: [Quantlib-users] CPIbond
May you send to the mailing list some code that reproduces the problem?
2012/3/20 Seyfullah ÇETİN <
[hidden email]>:
> We get a C++ vector exception. It is thrown when Bond::notional(Date
> d)
is
> called. It is because notionalSchedule_ is empty I guess.
>
>
>
> From: Luigi Ballabio [mailto:
[hidden email]]
> Sent: Tuesday, March 20, 2012 1:47 PM
> To: Seyfullah ÇETİN
> Cc:
[hidden email]
> Subject: Re: [Quantlib-users] CPIbond
>
>
>
> 2012/3/16 Seyfullah ÇETİN <
[hidden email]>
>
> I haven't seen many examples of CPIBond usage. There is only one in
> test suite which is used for CPI Swap constintency. I tried to use
> some parts
of
> that code chunk to create a CPIbond and access its methods. I can get
> some of them but for example, I can not access cleanprice(), it throws
> an exception. Is CPIbond a useable class or just still under construction?
>
>
> It should be usable. What is the message of the exception? Setting up
> the inflation curves might be tricky.
>
> Luigi
>
>
>
>
> --
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