problems using AbcdAtmVolCurve

Posted by Eduardo Montoya on
URL: http://quantlib.414.s1.nabble.com/problems-using-AbcdAtmVolCurve-tp6374.html

Hello,

I am getting an assert error when executing maxDate() method from an AbcdAtmVolCurve
which triggers all the calculations within curve.

the call stack is as follows!

-------------------------------
std::_Debug_message(const wchar_t * message=0x00a88468, const wchar_t * file=0x00a884b0, unsigned int line=98)  Line 24    C++
std::_Vector_const_iterator<double,std::allocator<double> >::operator*()  Line 99    C++
QuantLib::detail::AbcdInterpolationImpl<std::_Vector_iterator<double,std::allocator<double> >,std::_Vector_iterator<double,std::allocator<double> > >::update()  Line 108 + 0x8 bytes    C++
QuantLib::AbcdAtmVolCurve::performCalculations()  Line 156    C++
QuantLib::LazyObject::calculate()  Line 146    C++
QuantLib::AbcdAtmVolCurve::maxDate()  Line 122 + 0x12 bytes    C++
-------------------------------

the code for instantiating the curve is as follows.


    TS_VOL_ABCD_ATM* c; // this is a custom structure for serializing information between a gui client application and the server where the following code actually runs!


    std::vector<QuantLib::Period> optionTenors;
    std::vector<QuantLib::Handle<QuantLib::Quote> > vols;
    std::vector<bool> inclusionInInterpolationFlag;

    for (std::size_t i = 0; i < c->Values.size(); i++)
    {
        QuantLib::Period period
        (
              Converter::toInteger(c->Values[i].OptionTenor.NoTimeUnit)
            , Converter::toTimeUnit(c->Values[i].OptionTenor.TimeUnit)
        );
        optionTenors.push_back(period);
        vols.push_back(QuantLib::Handle<QuantLib::Quote>(boost::shared_ptr<QuantLib::SimpleQuote>(new QuantLib::SimpleQuote(QuantLib::Real(c->Values[i].Volatility)))));
        inclusionInInterpolationFlag.push_back(c->Values[i].InclusionInInterpolationFlag);
    }

    boost::shared_ptr<QuantLib::AbcdAtmVolCurve> curve
    ( new QuantLib::AbcdAtmVolCurve(
          Converter::toNatural(c->SettlementDays)
        , Converter::toCalendar(c->Calendar)
        , optionTenors   
        , vols
        , inclusionInInterpolationFlag // default std::vector< bool >(1, true)
        , Converter::toBusinessDayConvention(c->Convention)
        , Converter::toDayCounter(c->DayCounter)
    ));


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