Posted by
tarpanelli@libero.it on
URL: http://quantlib.414.s1.nabble.com/Error-Empty-Handle-cannot-be-dereferenced-tp6956.html
Hello,
I have instantiated a yield curve and relinked it to a term structure built
by using a list of instruments. The I used it to price a Vanilla swap but I got
the following error:
2nd leg: empty Handle cannot be dereferenced.
I tested the yield curve and it works fine by returning me good zero rates and
discount factors. Here is the code
Paolo
/ ****** CODE ******/
.....
boost::shared_ptr<YieldTermStructure> depofutswap_structure(new
PiecewiseYieldCurve<Discount,LogLinear>(reference_date,
instruments_collection,
daycount,
tolerance));
RelinkableHandle<YieldTermStructure> yieldCurve;
yieldCurve.linkTo(depofutswap_structure);
// Creating the X x Y swap
BusinessDayConvention swaption_FloatLegConv = Unadjusted;
BusinessDayConvention swaption_FixedLegConv = Unadjusted;
VanillaSwap::Type swap_type = VanillaSwap::Payer;
Date optionexpiry = cal.advance(startdate,option_tenor);
Date swaplength = cal.advance(startdate,swap_tenor);
Schedule swaption_FixedSch(optionexpiry,
swaplength,
Period(swaption_FixedLegFreq),
calend,
swaption_FixedLegConv,
swaption_FixedLegConv,
DateGeneration::Forward,
false);
Schedule swaption_FloatingSch(optionexpiry,
swaplength,
Period(swaption_FloatLegFreq),
calend,
swaption_FloatLegConv,
swaption_FloatLegConv,
DateGeneration::Forward,
false);
boost::shared_ptr<IborIndex> swaption_FloatingLegIndex(new Euribor(Period
(swaption_FloatLegFreq), yieldCurve));
boost::shared_ptr<VanillaSwap> swaptionPtr(new VanillaSwap
(swap_type, ////////// <<<---------- Error
appears here
principal,
swaption_FixedSch,
strike,
swaption_FixedLegDc,
swaption_FloatingSch,
swaption_FloatingLegIndex,
0.0,
swaption_FloatingLegIndex->dayCounter()));
------------------------------------------------------------------------------
This SF.net Dev2Dev email is sponsored by:
Show off your parallel programming skills.
Enter the Intel(R) Threading Challenge 2010.
http://p.sf.net/sfu/intel-thread-sfd_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users