Posted by
tarpanelli@libero.it on
URL: http://quantlib.414.s1.nabble.com/R-Error-Empty-Handle-cannot-be-dereferenced-tp7022.html
Hi
I've modified the yield term structure from
RelinkableHandle<YieldTermStructure> to Handle<YieldTermStructure> .
I am not convinced that this is the right way to solve the issue but it
works!:)
Regards,
Paolo
>----Messaggio originale----
>Da:
[hidden email]
>Data: 31/08/2010 14.18
>A: <
[hidden email]>
>Ogg: [Quantlib-users] Error: Empty Handle cannot be dereferenced
>
>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()));
>
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