Re: R: Re: Curve building with depo, futures and swaps

Posted by Kim Kuen Tang on
URL: http://quantlib.414.s1.nabble.com/R-Re-Curve-building-with-depo-futures-and-swaps-tp6986p6987.html


Hi P,

[hidden email] schrieb:

> Hi Kim,
>
> the code is in try /catch block....
> The code is into a mex file (it receives data from Matlab and returns the
> results to Matlab)
> The strange thing is this:
> if I use just Depo and Futures I can build the yield curve and get discount
> factors, rates computed correctly by quantlib into Matlab without no problem,
> but when I added the swap rates, so I use the SwapRateHelper the system crashes
>  

i wish i can investigate the error, but without a standalone example i
cant do anything.
> and returns me this exception:
>  
> QuantLib::Error at memory location 0x00c2d760..
>  
IMHO QuantLib throws every error with a message, indicating the location
or the reason for the runtime error. Are you sure that this is the
entire message?
> And the same exception I have if I use bond instruments, when I go to
> implement the Schedule.
>  
Most of the problems i know come from the fact that the bootstrapping
method cannot find a satisfied solution for finding a root. Perhaps you
can go in this direction.

HTH

-Kim

> Thanks in advance,
> ciao
> P
>  
>> ----Messaggio originale----
>> Da: [hidden email]
>> Data: 28/07/2010 20.32
>> A: "[hidden email]"<[hidden email]>
>> Cc: <[hidden email]>
>> Ogg: Re: [Quantlib-users] Curve building with depo, futures and swaps
>>
>>
>> Hi P,
>>
>> [hidden email] schrieb:
>>    
>>> Hello,
>>>
>>> I am just trying to build a curve by using the swap rates, futures and
>>>      
> depos
>  
>>> but I am having a very strange error (my system crash). Before re-
>>>      
> installing I
>  
>>> would like to know if someone of you see some error in my piece of code
>>>      
> that I
>  
>>> used. May be there is some error that I cant see.
>>>  
>>>      
>> you seemed to have a runtime error. Can you provide a standalone example
>> where we can reproduce the error?
>> BTW did you put your code in a try/catch block to catch the runtime error?
>>
>> -Kim
>>
>>    
>>> Legenda = instruments is just a vector containing Rates and prices for
>>>      
> depo,
>  
>>> swap and futures.
>>> Everithing looks works well till when I added the RateHelper for swap! In
>>>      
> fact
>  
>>> if I delete the swaps everithing works and I can use the PieceWise Yield
>>> curve.
>>>
>>>
>>> Rgrds
>>>
>>> P
>>>
>>>
>>>      
> -----------------------------------------------------------------------------------------------------
>  
>>> Code Below
>>>
>>>      
> ----------------------------------------------------------------------------
>  
>>> // Deposit instruments <---
>>> deporates = instruments[nInst+i];
>>> boost::shared_ptr<Quote> depoquotes(new SimpleQuote(deporates));
>>> boost::shared_ptr<RateHelper> deporatehelper(new DepositRateHelper
>>> (Handle<Quote>(depoquotes),
>>>     numtenor * tenor,
>>>     fixingdays,
>>>                          cal,
>>>     rollconvention,
>>>     false,
>>>     daycount));
>>>   instrumentCollection.push_back(deporatehelper);
>>>
>>> // Future instruments <---
>>> futprices = instruments[nInst+i];
>>> boost::shared_ptr<Quote> futquotes(new SimpleQuote(futprices));
>>> Date expdate((int)instruments[4*nInst+i] + 1);
>>> Date iMMdates = IMM::nextDate(expdate);
>>> boost::shared_ptr<RateHelper> futratehelper(new FuturesRateHelper
>>>      
> (Handle<Quote>
>  
>>> (futquotes),
>>>                     iMMdates,
>>>                   futmonths,
>>>                   cal,
>>>                   rollconvention,
>>>                   false,
>>>                  daycount));
>>> instrumentCollection.push_back(futratehelper);
>>>
>>> // Swap instruments <---
>>> swrates = instruments[nInst+i];
>>> boost::shared_ptr<Quote> swquotes(new SimpleQuote(swrates));
>>> boost::shared_ptr<RateHelper> swratehelper(new SwapRateHelper
>>>      
> (Handle<Quote>
>  
>>> (swquotes),
>>>                       numtenor * Years,
>>>                   cal,
>>>                  swFixedLegFreq,       // Annual
>>>                  rollconvention,            // Unadjusted
>>>                  swFixedLegDc,          // Thirty360(thirty360::
>>> European)
>>>                  swFloatingLegIndex));   // Euribor6M
>>> instrumentCollection.push_back(swratehelper);
>>>
>>> // Yield curve constructor
>>> double tolerance = 1.0e-15;
>>> boost::shared_ptr<YieldTermStructure> depoFutSwapTermStructure(new
>>> PiecewiseYieldCurve<Discount,LogLinear>(referencedate,
>>>                       instrumentCollection,
>>>   daycount,
>>>   tolerance));
>>> RelinkableHandle<YieldTermStructure> discountCurve;
>>>
>>>
>>>      
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>>    
>
>
>
>  

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